Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance







805Weeks BuildingSouth Kensington Campus






BibTex format

author = {Brigo, D and Morini, M},
journal = {Journal of Financial Transformation},
pages = {151--160},
title = {Efficient pricing of default risk: Different approaches for a single goal},
url = {},
volume = {13},
year = {2005}

RIS format (EndNote, RefMan)

AB - With the rapid development of the credit derivatives market, efficient pricing of default has become an extremely important issue for the credit risk management of banks and other investors. We consider here some of the opportunities and problems that the development of this market poses to quantitative research in academia and industry. We describe different modeling choices pointing out the practical pros and cons of the different frameworks. For all different frameworks, we present innovative solutions allowing both computational efficiency and high consistency with the increasingly liquid credit reference market, the market of credit default swaps
AU - Brigo,D
AU - Morini,M
EP - 160
PY - 2005///
SP - 151
TI - Efficient pricing of default risk: Different approaches for a single goal
T2 - Journal of Financial Transformation
UR -
VL - 13
ER -