Modelling credit default swap spreads by means of normal mixtures and copulas

DOI10.1080/1350486042000218420zbMATH Open1106.91367OpenAlexW2101023031MaRDI QIDQ4673732FDOQ4673732

Authors: Marco Bee 

Publication date: 9 May 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000218420

Recommendations

• A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk
• A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks
• Modelling bonds and credit default swaps using a structural model with contagion
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Modeling the dynamics of credit spreads with stochastic volatility
• Pricing credit default swaps under a multi-scale stochastic volatility model
• Randomized structural models of credit spreads
• A CDO pricing model based on the mixture copula
• scientific article; zbMATH DE number 7088124

zbMATH Keywords

copulafinite mixture distributionsnon-parametric bootstrapcredit default swap spread

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (6)

• Investigation of the dependence structure in seismic hazard analysis: an application for Turkey
• Estimation and evaluation of the term structure of credit default swaps: An empirical study
• Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
• Valuation of a credit spread put option: the stable Paretian model with copulas
• THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
• The skewed t

This page was built for publication: Modelling credit default swap spreads by means of normal mixtures and copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4673732)