Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models (Q5156996)
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scientific article; zbMATH DE number 7409077
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models |
scientific article; zbMATH DE number 7409077 |
Statements
Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models (English)
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12 October 2021
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portfolio credit derivatives
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basket default swaps
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Gaussian copula
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Monte Carlo simulations
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stochastic intensity modelling
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hazard rate
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joint survival probability distribution
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