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Found 1 from your keywords: author=Richard White
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The Pricing and Risk Management of Credit Default Swaps, with a Focus on the …
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Richard White

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 ISDA standard CDS model works, and how it can be independently implemented. Particular attention is paid to the accrual on default formula: We show that the original formula in the standard model is slightly wrong, but more importa…

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1-51
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