Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
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References listed on IDEAS
- Jeffery D Amato & Jacob Gyntelberg, 2005. "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
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- Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
- Hayette Gatfaoui, 2010.
"Investigating the dependence structure between credit default swap spreads and the U.S. financial market,"
Annals of Finance,
Springer, vol. 6(4), pages 511-535, October.
- Hayette Gatfaoui, 2010. "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print hal-00565525, HAL.
- Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
More about this item
KeywordsCollateralized Debt Obligation Credit Default Swap Credit Default Index Swap Credit Default Index Swap Tranches;
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