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Technical paper

Problems & Solutions: Probabilities of Default

There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…

Market models for CDS

In August 2004, Risk published an article on the pricing of credit default swap (CDS) options entitled A measure of survival by Phillip Schönbucher. Here, Damiano Brigo provides an alternative derivation of the CDS option pricing formula based on Cox

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