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What is the Probability of Default?
Ovchinnikov, Anton S.
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Overview
Credit derivatives barely existed in 1990s, but by 2006, the market for them was big and growing fast. This note serves as a backgrounder for MBA and undergraduate students on the purpose of credit derivatives and the two basic types, the credit default swap (CDS), and its pooled version, called a collateralized debt obligation (CDO). The note contains several exercises designed to improve students' understanding of this growing area.
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Learning Objectives