Credit Swap Valuation

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Credit Swap Valuation

by Darrell Duffie of Stanford University

November 6, 1998

Abstract: This article explains the basics of pricing credit swaps.

Published in: Financial Analysts Journal, Vol. 55, No. 1, (January/February 1999), pp. 73-87.
Then reprinted in: Credit Risk: Models and Management edited by David Shimko, Risk Books, 2000.

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