On pricing basket credit default swaps

DOI10.1080/14697688.2013.783713zbMath1282.91328arXiv1204.4025OpenAlexW1965496858MaRDI QIDQ5400652

Harry Zheng, Wai-Ki Ching, Tak Kuen Siu, Jia-Wen Gu

Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4025

zbMATH Keywords

numerical resultsrecursive methodsensitivity studyhomogeneous caseCDS ratesdefault time distributioninteracting intensity default contagion modeltwo-group heterogeneous case

Mathematics Subject Classification ID

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

Related Items (7)

Interacting default intensity with a hidden Markov process ⋮ Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk ⋮ Pricing European options under stochastic looping contagion risk model ⋮ CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS ⋮ Dynamic Portfolio Optimization with Looping Contagion Risk ⋮ A factor contagion model for portfolio credit derivatives ⋮ On correlated defaults and incomplete information

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing and Esscher transform under regime switching
• Basket CDS pricing with interacting intensities
• The multivariate hazard construction
• Thekth default time distribution and basket default swap pricing
• A Top-Down Approach to Multiname Credit
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Probabilistic model for description of evolution of financial indices

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