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Credit Derivatives and Credit Exposures

Credit default swap pricing and default probability curve, counterparty credit risk exposures

A credit derivative is a financial instrument designed to separate and then transfer the risk of an event of credit default to an entity other than the debtholder. This toolbox provides functionality to price credit default swaps and credit default swap options. Also, you can compute the default probability and hazard rate values from market data. Counterparty credit risk is that the counterparty to a contract will not live up to its contractual obligations.