PT - JOURNAL ARTICLE AU - Robert A Jarrow AU - Yildiray Yildirim TI - Valuing Default Swaps Under Market and Credit Risk Correlation AID - 10.3905/jfi.2002.319308 DP - 2002 Mar 31 TA - The Journal of Fixed Income PG - 7--19 VI - 11 IP - 4 4099 - https://pm-research.com/content/11/4/7.short 4100 - https://pm-research.com/content/11/4/7.full AB - This article provides a simple analytic formula for valuing default swaps when both market and credit risk are correlated. Numerical implementation is illustrated by deducing the default probability parameters implicit in default swap quotes for 22 companies over a ten-week period. The results are compared to implicit estimates for the standard model (a special case of this approach) where market and credit risk are statistically independent.