A Copula Approach to Default Correlation and the Pricing of Basket Default Swap (Q3104332)
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scientific article; zbMATH DE number 5990017
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Copula Approach to Default Correlation and the Pricing of Basket Default Swap |
scientific article; zbMATH DE number 5990017 |
Statements
A Copula Approach to Default Correlation and the Pricing of Basket Default Swap (English)
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19 December 2011
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first-to-default swap
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copulas
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default correlation
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hazard rate function
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0.88840413
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0.88606554
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0.8852938
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0.8842889
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0.88084173
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0.8781768
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0.8775828
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0.87428796
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