CreditGrades.com to offer free credit derivatives pricing

JP Morgan Chase and RiskMetrics Group plan to launch a website this month offering free, indicative prices for credit derivatives. CreditGrades.com will provide benchmark prices for five-year default swaps, using the firm-value model described in a technical article by George Pan, vice-president in credit derivatives research at JP Morgan, in the November 2001 issue of Risk.

Deutsche Bank and Goldman Sachs also back the project, though they had not finalised their contracts as Risk went to p

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