A Copula Approach to Default Correlation and the Pricing of Basket Default Swap

DOI10.1080/01966324.2010.10737776zbMath1229.91361OpenAlexW2038522623MaRDI QIDQ3104332

Lina Yue, Housheng Chen, Ping Li

Publication date: 19 December 2011

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.2010.10737776

zbMATH Keywords

copulashazard rate functiondefault correlationfirst-to-default swap

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• An introduction to copulas. Properties and applications
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