Model wyceny CDS oparty na skróconym modelu wyceny ryzyka kredytowego
CDS pricing model based on the reduced model of credit risk pricing

Summary/Abstract: From the 90s of the XX century the fastest development of derivatives has been on the market of Credit Derivatives. They enable to exclude the specific credit risk from different kinds of risk (i.e. market risk or liquidity risk). Credit Default Swap – CDS is the most popular and the most often used credit derivative. The aim of the article is to present Credit Default Swap standard valuation model based on the reduced pricing model proposed by Jarrow and Turnbul.

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