Constant Maturity Credit Default Swap Pricing with Market Models
| dc.creator | Brigo, Damiano | |
| dc.date | 2008-12-22 | |
| dc.date.accessioned | 2026-07-07T12:21:13Z | |
| dc.date.available | 2026-07-07T12:21:13Z | |
| dc.description | In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market under the LIBOR market model. A "convexity adjustment"-like correction is present in the related formula. Without such correction, or with zero correlations, the formula returns an obvious deterministic-credit-spread expression for the CMCDS price. To obtain the result we derive a joint dynamics of forward CDS rates under a single pricing measure, as in Brigo (2004). Numerical examples of the "convexity adjustment" impact complete the paper. | |
| dc.identifier | https://arxiv.org/abs/0812.4159 | |
| dc.identifier | http://arxiv.org/abs/0812.4159 | |
| dc.identifier | Short version in Risk Magazine, june 2006 issue, and related paper in "Credit Risk: Models, Derivatives and Management", Taylor & Francis, 2008 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/213295 | |
| dc.subject | Pricing of Securities | |
| dc.title | Constant Maturity Credit Default Swap Pricing with Market Models | |
| dc.type | text |