نتایج جستجو برای: basket default swaps bds
تعداد نتایج: 27663 فیلتر نتایج به سال:
We present an intensity-based model of correlated defaults with application to the valuation of defaultable securities. The model assumes that the conditional hazard rate of default is driven by external common factors as well as other defaults in the system. A proposed recursive procedure can be used to generate default times with a broad class of correlation structures. We compare this approa...
This paper deals with the impact of structure of dependency and the choice of procedures for rareevent simulation on the pricing of multi-name credit derivatives such as n to default swap and Collateralized Debt Obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based simulation procedure for pricing baske...
Whereas a widely-held current view is that the correlation parameters occurring in the risk-neutral procedure for the pricing of basket credit derivatives should, at least in principle, be set equal to their real-world values obtained from historical data, the conclusion of this article is that the correlation parameters are risk-neutral parameters with a range of allowable values. As a result,...
This paper provides a simple analytic formula for valuing default swaps with correlated market and credit risk. We illustrate the numerical implementation of this model by inferring the default probability parameters implicit in default swap quotes for twenty two companies over the time period 8/21/00 to 10/31/00. For comparison, with also provide implicit estimates for the standard model (a sp...
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