Pricing basket default swaps in a tractable shot noise model

DOI10.1016/J.SPL.2011.03.018zbMATH Open1217.91182OpenAlexW2030984373MaRDI QIDQ553040FDOQ553040

Authors: Alexander Herbertsson, Thorsten Schmidt, Ji-Wook Jang 

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.018

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zbMATH Keywords

credit riskdependence modellingshot noiseintensity-based models\(k\)th-to-default swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Credit risk (91G40)

Cites Work

• Title not available (Why is that?)
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Term-structure models. A graduate course
• Title not available (Why is that?)
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives

Cited In (9)

• Basket credit derivative pricing in a Markov chain model with interacting intensities
• Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
• Basket CDS pricing with default intensities using a regime-switching shot-noise model
• Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Shot-noise processes in finance
• A Copula Approach to Default Correlation and the Pricing of Basket Default Swap
• Joint survival probability via truncated invariant copula
• Shot-noise driven multivariate default models

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