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Credit Swap Valuation Darrell Duffie

Credit events may be defined in terms of downgrades, events that could instigate the default of one or more counterparties, or other credit-related occurrences.2 Swaps involve some risk of disagreement about whether the event has, in fact, occurred, but in this discussion of valuing the credit swap, such risk of documentation or enforceability will be ignored. In the event of termination at the designated credit event, Party A pays Party B a stipulated termination amount. For example, in the most common form of credit swap, called a “default swap,” if the termination is triggered by the default of Entity C, A pays B an amount that is, in effect, the difference between the face.