On pricing basket credit default swaps (Q5400652)

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scientific article; zbMATH DE number 6265437
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On pricing basket credit default swaps
scientific article; zbMATH DE number 6265437

    Statements

    title
    On pricing basket credit default swaps (English)
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    author
    Wai-Ki Ching
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    Tak Kuen Siu
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    Harry Zheng
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    Jia-Wen Gu
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    publication date
    4 March 2014
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    zbMATH Keywords
    recursive method
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    default time distribution
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    interacting intensity default contagion model
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    homogeneous case
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    two-group heterogeneous case
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    numerical results
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    CDS rates
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    sensitivity study
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G40
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    91G60
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    zbMATH DE Number
    6265437
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