Copula based simulation procedures for pricing basket Credit Derivatives
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References listed on IDEAS
- Andreas A. Jobst, 2002. "Collateralized Loan Obligations (CLOs) – A Primer," Working Paper Series: Finance and Accounting 96, Department of Finance, Goethe University Frankfurt am Main.
- Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009.
"The Determinants of Credit Default Swap Premia,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 44(01), pages 109-132, February.
- Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
- Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004. "The Determinants of Credit Default Swap Premia," SIFR Research Report Series 32, Institute for Financial Research.
- Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
- 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
KeywordsCollateralized Debt Obligations; Basket Default Swaps; Monte Carlo method; One factor Gaussian copula; Clayton copula; t-student copula; importance sampling;
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-01 (All new papers)
- NEP-CMP-2007-12-01 (Computational Economics)
- NEP-FMK-2007-12-01 (Financial Markets)
- NEP-RMG-2007-12-01 (Risk Management)
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