**Abstract**

We provide an introduction to the pricing of credit derivatives. Default probability is defined and modeled using a piecewise constant hazard rate. Credit default swaps are shown as a first example of credit derivatives. It is then shown how to obtain a default probability term structure that is consistent with market quotes of credit-default swaps. Portfolio credit derivatives are also considered: the loss distribution is computed in both the homogeneous and non-homogeneous cases and is used to compute the price of a collateralized debt obligations. Finally, the generation of simulated scenarios for base correlation is briefly discussed.

**Keywords**: credit derivatives, credit, derivatives, pricing functions, bond pricing, credit-default swaps, cds, asset swaps, credit spread, portfolio credit derivatives

**Pdf file**: intro-credit-derivatives.pdf