منابع مشابه
Fast Pricing of Basket Default Swaps
A basket default swap is a derivative security tied to an underlying basket of corporate bonds or other assets subject to credit risk. The value of the contract depends on the joint distribution of the default times of the underlying assets. Valuing a basket default swap often entails Monte Carlo simulation of these default times. For baskets of high-quality credits and for swaps that require m...
متن کاملModeling Basket Credit Default Swaps with Default Contagion
The specification of a realistic dependence structure is key to the pricing of multi-name credit derivatives. We value small k th-to-default CDS baskets in the presence of asset correlation and default contagion. Using a first-passage framework, firm values are modeled as correlated geometric Brownian motions with exponential default thresholds. Idiosyncratic links between companies are incorpo...
متن کاملPricing Credit Default Swaps Under Default Correlations and Counterparty Risk ∗
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure and counterparty risk into consideration. We have demonstrated our affine model not only combines the existing structural models and intensity...
متن کاملOn Pricing Credit Default Swaps With Observable Covariates
We introduce a discrete time no-arbitrage model with observable covariates, which allows for a closed form solution for the value of credit default swaps (CDS). The default intensity is speci ed as a quadratic function of the covariates, ensuring that the intensity function is always positive. The model yields economically plausible results in terms of t, sign of coe¢ cients and statistical si...
متن کاملAn Application of Genetic Network Programming Model for Pricing of Basket Default Swaps (BDS)
The credit derivatives market has experienced remarkable growth over the past decade. As such, there is a growing interest in tools for pricing of the most prominent credit derivative, the credit default swap (CDS). In this paper, we propose a heuristic algorithm for pricing of basket default swaps (BDS). For this purpose, genetic network programming (GNP), which is one of the recent evolutiona...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2013
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2013.783713