Credit challenge

Credit Derivatives Modelling


Although the credit derivatives market has developed within the past decade, the foundations for pricing were put in place much earlier than that. The Black-Scholes and Merton insights into option pricing led to a model in which the default probability or debt of a company is priced endogenously as a derivative on the underlying firm's value.

This approach, with many extensions (coupons, converts, stochastic interest rates, random barriers), has been a popular method to measure dynamic credit

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here