The Valuation of Default-Triggered Credit Derivatives
提出一个简单易行的模型，用于研究违约互换和违约篮子两种常见违约触发型合约的定价与对冲，并展示违约相关性如何影响这些合约的价格。
Credit derivatives are among the fastest growing contracts in the derivatives market. We present a simple, easily implementable model to study the pricing and hedging of two widely traded default-triggered claims: default swaps and default baskets. In particular, we demonstrate how default correlation (the correlation between two default processes) impacts the prices of these claims. When we extend our model to continuous time, we find that, once default correlation has been taken into consideration, the spread dynamics have very little explanatory power.