Numerical methods to quantify the model risk of basket default swaps

DOI10.1016/J.CAM.2013.03.042MaRDI QIDQ2453103zbMATH OpenOpenAlexFDO

Authors A. Schröter, Pascal Heider

Publication date 6 June 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2013.03.042

zbMATH Keywords

importance samplingArchimedean copulabasket default swapcredit derivative sensitivesmodel-risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Recommendations

• Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
• Fast Pricing of Basket Default Swaps
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• Valuation of basket credit default swaps by the partial differential equation method
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Cites work

• scientific article; zbMATH DE number 3457895 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• An introduction to copulas.
• Credit risk: Modelling, valuation and hedging
• Estimating Security Price Derivatives Using Simulation
• Families of Multivariate Distributions
• Fast Pricing of Basket Default Swaps
• Numerical integration using sparse grids
• Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model
• Sampling Archimedean copulas
• Tools for computational finance

Cited in

(6)

• Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
• Pricing basket default swaps using quasi-analytic techniques
• Enhancing credit default swap valuation with meshfree methods
• Fast Pricing of Basket Default Swaps
• Valuation of a credit swap of the basket type
• An analytical formula for pricing \(m\)-th to default swaps

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