Publications
Publications
- May 2005 (Revised November 2005)
- HBS Case Collection
Note on Credit Derivatives
Abstract
Provides the basic underlying model for credit risk analysis, as well as covers basic credit risk derivatives, such as asset swaps, credit default swaps, total return of rate swaps, and credit spread options.
Keywords
Citation
Chacko, George C., Peter A. Hecht, Anders Sjoman, and Kate Hao. "Note on Credit Derivatives." Harvard Business School Background Note 205-111, May 2005. (Revised November 2005.)