The Pricing and Risk Management of Credit Default Swaps ...

The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model Richard White Richard@opengamma.com OpenGamma Quantitative Research n. 16 | First version: September 13, 2013; this version October 15, 2013. Abstract In the paper we detail the reduced form or hazard rate method of pricing credit default swaps, which is a market standard. We then show exactly how the … ................
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