TY - GEN A1 - Grbac, Zorana A1 - Papapantoleon, Antonis T1 - A tractable LIBOR model with default risk N2 - We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of a� ffine processes, this model produces positive LIBOR rates and spreads, while the dynamics are analytically tractable under defaultable forward measures. This leads to explicit formulas for CDS spreads, while semi-analytical formulas are derived for other credit derivatives. Finally, we give an application to counterparty risk. Y1 - 2012 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/1148 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-11480 ER -