Pricing Credit Derivatives

  • Manuel Ammann
Part of the Springer Finance book series (FINANCE)


The previous chapters consider the risk that a counterparty to a derivative contract defaults on its contractual obligations. Additionally, in Section 5.6.2, we address the pricing of default-free derivatives on credit-risky bonds. In this chapter, we look at derivative instruments with credit risk as their underlying variable determining the payoff of the instrument. Such instruments are commonly called credit derivatives.


Credit Risk Call Option Exchange Option Credit Spread Bond Price 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Manuel Ammann
    • 1
  1. 1.Swiss Institute of Banking and FinanceUniversity of St. GallenSt. GallenSwitzerland

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