{"id":"https://openalex.org/W2606617536","doi":"https://doi.org/10.2469/dig.v31.n2.888","title":"Valuing Credit Default Swaps I: No Counterparty Default Risk","display_name":"Valuing Credit Default Swaps I: No Counterparty Default Risk","publication_year":2001,"publication_date":"2001-05-01","ids":{"openalex":"https://openalex.org/W2606617536","doi":"https://doi.org/10.2469/dig.v31.n2.888","mag":"2606617536"},"language":"en","primary_location":{"id":"doi:10.2469/dig.v31.n2.888","doi":"https://doi.org/10.2469/dig.v31.n2.888","is_oa":true,"landing_page_url":"https://doi.org/10.2469/dig.v31.n2.888","pdf_url":null,"source":{"id":"https://openalex.org/S4210175492","display_name":"CFA Digest","issn_l":"0046-9777","issn":["0046-9777","1938-3320"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":"https://openalex.org/P4310315604","host_organization_name":"CFA Institute","host_organization_lineage":["https://openalex.org/P4310315604"],"host_organization_lineage_names":["CFA Institute"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"CFA Digest","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.2469/dig.v31.n2.888","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5010528299","display_name":"Bruce D. Phelps","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Bruce D. Phelps","raw_affiliation_strings":["The summary was prepared by Bruce D. Phelps, CFA, Lehman Brothers, Inc"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The summary was prepared by Bruce D. Phelps, CFA, Lehman Brothers, Inc","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5010528299"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.6851,"has_fulltext":false,"cited_by_count":43,"citation_normalized_percentile":{"value":0.90503218,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"31","issue":"2","first_page":"91","last_page":"92"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0010999999940395355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-default-swaps","display_name":"credit default swaps","score":1.0},{"id":"https://openalex.org/keywords/credit-derivatives-pricing","display_name":"credit derivatives pricing","score":0.6700000166893005},{"id":"https://openalex.org/keywords/counterparty-default-risk","display_name":"counterparty default risk","score":0.8579999804496765},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.6790000200271606},{"id":"https://openalex.org/keywords/credit-spreads","display_name":"credit spreads","score":0.328000009059906}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.7273171544075012},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.658626139163971},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.6354027390480042},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.6089485883712769},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.564620852470398},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.5572778582572937},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.4871973395347595},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.4727916419506073},{"id":"https://openalex.org/C2984055962","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Default risk","level":3,"score":0.4509163498878479},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.4220002293586731},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.32261601090431213},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.09046584367752075}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2469/dig.v31.n2.888","doi":"https://doi.org/10.2469/dig.v31.n2.888","is_oa":true,"landing_page_url":"https://doi.org/10.2469/dig.v31.n2.888","pdf_url":null,"source":{"id":"https://openalex.org/S4210175492","display_name":"CFA Digest","issn_l":"0046-9777","issn":["0046-9777","1938-3320"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":"https://openalex.org/P4310315604","host_organization_name":"CFA Institute","host_organization_lineage":["https://openalex.org/P4310315604"],"host_organization_lineage_names":["CFA Institute"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"CFA Digest","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.2469/dig.v31.n2.888","doi":"https://doi.org/10.2469/dig.v31.n2.888","is_oa":true,"landing_page_url":"https://doi.org/10.2469/dig.v31.n2.888","pdf_url":null,"source":{"id":"https://openalex.org/S4210175492","display_name":"CFA Digest","issn_l":"0046-9777","issn":["0046-9777","1938-3320"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":"https://openalex.org/P4310315604","host_organization_name":"CFA Institute","host_organization_lineage":["https://openalex.org/P4310315604"],"host_organization_lineage_names":["CFA Institute"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"CFA Digest","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2788764103","https://openalex.org/W2606553624","https://openalex.org/W2788633996","https://openalex.org/W2410909832","https://openalex.org/W775101107","https://openalex.org/W2785882446","https://openalex.org/W2606152497","https://openalex.org/W2784562611","https://openalex.org/W7098640704","https://openalex.org/W2280345616"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":10}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2017-04-28T00:00:00"}