Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

DOI10.1016/J.INSMATHECO.2010.10.006MaRDI QIDQ2276220zbMATH OpenOpenAlexFDO

Authors Geon Ho Choe, Hyun Jin Jang

Publication date 1 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.10.006

zbMATH Keywords

importance samplingArchimedean copulacredit riskbasket default swapnested Archimedean copula

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A probabilistic interpretation of complete monotonicity
• CDO pricing with nested Archimedean copulas
• Families of Multivariate Distributions
• Fast Pricing of Basket Default Swaps
• Hierarchies of Archimedean copulas
• Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model
• Sampling from Archimedean copulas
• Sampling nested Archimedean copulas
• The \(k\)th default time distribution and basket default swap pricing

Cited in

(12)

• A factor contagion model for portfolio credit derivatives
• Fast Pricing of Basket Default Swaps
• Efficient hybrid methods for portfolio credit derivatives
• Fast valuation of forward-starting basket default swaps
• Copula sensitivity analysis for portfolio credit derivatives
• The \(k\)th default time distribution and basket default swap pricing
• Pricing basket default swaps using quasi-analytic techniques
• A Copula Approach to Default Correlation and the Pricing of Basket Default Swap
• Adaptive importance sampling for simulating copula-based distributions
• Joint survival probability via truncated invariant copula
• Importance sampling and stratification for copula models
• Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model

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