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David Lee deposited Default Put Protection Derivative Analytics in the group
Scholarly Communication on Humanities Commons 4 months, 3 weeks ago
We present a model for pricing a credit derivative product where party A has sold default put protection on a Euro denominated bond. Specifically, upon bond issuer default, party A must pay to party B a notional amount of 10 million USD (excluding accrued interest). In exchange, party B must pay a fixed rate to party A, on a quarterly basis, also based on this notional amount.