Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
给出了Madan-Unal信用风险模型中生存概率的准解析近似公式，可用于定价信用违约互换（CDS），并通过实际市场数据验证了模型参数估计的准确性。
We obtain a quasi-analytical approximation of the survival probability in the credit risk model proposed in [Madan, D.B. and Unal, H., Pricing the risk of default. Rev. Deriv. Res., 1998, 2(2), 121–160]. Such a formula, which extensive numerical simulations reveal to be accurate and computationally fast, can also be employed for pricing credit default swaps (CDSs). Specifically, we derive a quasi-analytical approximate expression for CDS par spreads, and we use it to estimate the parameters of the model. The results obtained show a rather satisfactory agreement between theoretical and real market data.