TY - JOUR T1 - Valuing Default Swaps Under Market and Credit Risk Correlation JF - The Journal of Fixed Income SP - 7 LP - 19 DO - 10.3905/jfi.2002.319308 VL - 11 IS - 4 AU - Robert A Jarrow AU - Yildiray Yildirim Y1 - 2002/03/31 UR - https://pm-research.com/content/11/4/7.abstract N2 - 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. ER -