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credit risk derivatives

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fashionmarina
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Joined: December 17th, 2005, 9:47 am

credit risk derivatives

October 19th, 2006, 4:28 pm

hi,can anyone tell me an easy and the best (and important) references about credit risk and credit derivative pricing with several and new stochastic processes?thanks very much
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AlphaNumericus
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Joined: December 25th, 2004, 9:17 pm

credit risk derivatives

October 20th, 2006, 2:14 am

Hi,Sorry, what do you mean by several and new processes?The classical Hull-White paper: http://www.rotman.utoronto.ca/~hull/Dow ... efSw1.pdfA few others: http://www.rotman.utoronto.ca/~hull/Dow ... cations/Do you have a specific exotic credit derivative contract in mind?
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bigbird
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Joined: August 8th, 2003, 7:16 pm

credit risk derivatives

October 20th, 2006, 6:36 am

www.defaultrisk.com has a large collection of papers relating to credit risk/ credit derivatives. They have rankings by popularity etc. Probably a good starting point. DefaultRisk.com
Last edited by bigbird on October 19th, 2006, 10:00 pm, edited 1 time in total.
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