The second workshop on credit detivatives pricing considers `reduced form' models. In these models the default risk information is assumed to be embodied in the market spreads for defaultable bonds and/or credit derivatives. The three main approaches that are discussed are

1. bond price based approach, where the default information is recovered from the prices of risk-free and defaultable bonds,
2. building on this, intensity based models are discussed, and finally
3. rating transition models are briefly described.

Presentation

• Volf Frishling: Credit Derivative Pricing Models 2 - Reduced Form Models (Word document)

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