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Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation

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  • Yiran Sheng

Abstract

This article aims to discuss some basics in field of credit modeling, specifically the pricing issue of FtD contract. We demonstrate how the popular copula approach is used in pricing FtD contract, and give a stimulation example of such practice based on SAS 9.1.

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  • Yiran Sheng, 2013. "Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation," Papers 1310.6819, arXiv.org.
    • Handle: RePEc:arx:papers:1310.6819
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    References listed on IDEAS

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    1. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
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