Pricing basket default swaps in a tractable shot noise model

DOI10.1016/j.spl.2011.03.018zbMath1217.91182OpenAlexW2030984373MaRDI QIDQ553040

Thorsten Schmidt, Alexander Herbertsson, Ji-Wook Jang

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.018

zbMATH Keywords

credit riskshot noisedependence modellingintensity-based models\(k\)th-to-default swaps

Mathematics Subject Classification ID

Related Items (5)

Shot-Noise Processes in Finance ⋮ Basket credit derivative pricing in a Markov chain model with interacting intensities ⋮ Basket CDS pricing with default intensities using a regime-switching shot-noise model ⋮ Joint survival probability via truncated invariant copula ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk

Cites Work

• Term-structure models. A graduate course
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
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