A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches

DOI10.1016/j.insmatheco.2016.10.004zbMath1394.91335OpenAlexW2536555724MaRDI QIDQ506065

Catalin Cantia, Radu S. Tunaru

Publication date: 31 January 2017

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

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/89499/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_CDO_MS2016_RR_prop.pdf

zbMATH Keywords

time-changeCDS pricingcredit index pricingmean-reverting process with jumpstranche pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

LLN-type approximations for large portfolio losses ⋮ Large portfolio losses in a turbulent market

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