Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
DOI10.1016/J.INSMATHECO.2010.10.006zbMATH Open1233.91296OpenAlexW2074932439MaRDI QIDQ2276220FDOQ2276220
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
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- scientific article; zbMATH DE number 5305363
Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Credit risk (91G40)
Cites Work
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- Sampling nested Archimedean copulas
- Hierarchies of Archimedean copulas
- Sampling from Archimedean copulas
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- A probabilistic interpretation of complete monotonicity
- Families of Multivariate Distributions
- CDO pricing with nested Archimedean copulas
- Fast Pricing of Basket Default Swaps
- Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model
- 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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