Price Calibration of basket default swap: Evidence from Japanese market
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References listed on IDEAS
- Mark Joshi & Dherminder Kainth, 2004. "Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 266-275.
- Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
- Ramiro Sosa Navarro, 2005.
"Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis,"
Documents de recherche
05-10, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Sosa Navarro, Ramiro, 2005. "Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis," MPRA Paper 11054, University Library of Munich, Germany.
- Fathi Abid & Nader Naifar, 2006. "Credit-default swap rates and equity volatility: a nonlinear relationship," Journal of Risk Finance, Emerald Group Publishing, vol. 7(4), pages 348-371, August.
More about this item
KeywordsBasket Default Swaps; Credit Curve; Monte Carlo method; Gaussian copula; t-student copula; Japanese market data; CML; Importance Sampling;
- G19 - Financial Economics - - General Financial Markets - - - Other
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