In this thesis we present models for pricing of defaultable zero-coupon bonds and credit default swaps. We analyze Merton's model, where the default event depends on the firm's value. Furthermore, we explore the role of hazard function in credit risk assessment. We use it to derive pricing formulas for defaultable zero-coupon bonds with various payoffs. In order to derive pricing formulas for more complex securities, we introduce some theoretical results regarding martingales. They allow us to evaluate general defaultable claims, including credit default swaps. We examine their pricing for single and multiple loans and discuss replicating strategies.
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