Pricing basket default swaps in a tractable shot noise model

DOI10.1016/J.SPL.2011.03.018MaRDI QIDQ553040zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 896675 (Why is no real title available?)
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Term-structure models. A graduate course

Cited in

(9)

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

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