UCSD MATHEMATICS DEPARTMENT: PROBABILITY SEMINAR

"A Unifying Model for Credit Derivatives"
Steven Shreve, Carnegie Mellon University

ABSTRACT
A unified framework for the valuation of a general contingent claim whose cashflow is subject to credit risk is introduced. The model includes both structural-form and reduced-form approaches. The usual recovery types are studied and compared. The results are then used to price default swaps. This is joint work with Dennis Wong and Alain Belanger.