Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

DOI10.1016/J.INSMATHECO.2010.10.006zbMath1233.91296OpenAlexW2074932439MaRDI QIDQ2276220

Geon Ho Choe, Hyun Jin Jang

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.10.006

zbMATH Keywords

importance samplingcredit riskArchimedean copulabasket default swapnested Archimedean copula

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Credit risk (91G40)

Related Items (4)

Copula sensitivity analysis for portfolio credit derivatives ⋮ Importance Sampling and Stratification for Copula Models ⋮ Joint survival probability via truncated invariant copula ⋮ A factor contagion model for portfolio credit derivatives

Cites Work

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• A probabilistic interpretation of complete monotonicity
• Thekth default time distribution and basket default swap pricing
• CDO pricing with nested Archimedean copulas
• Fast Pricing of Basket Default Swaps
• Sampling nested Archimedean copulas
• Hierarchies of Archimedean copulas
• Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model
• Sampling from Archimedean copulas
• Families of Multivariate Distributions

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