The model for CDS pricing based on the Gaussian copula method

MaRDI QIDQ5410376zbMATH OpenFDO

Authors Maojun Zhang, Xueni Zhao, Jiang-Xia Nan

Publication date 16 April 2014

Full work available at URL http://www.pphmj.com/abstract/7905.htm

zbMATH Keywords

asset pricingCDScopula methodcredit risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cited in

(8)

• Introducing fuzziness in CDS pricing under a structural model
• On the single name CDS price under structural modeling
• A CDO pricing model based on the mixture copula
• Pricing of credit default swap based on credit rating
• Fast solution of the Gaussian copula model
• The pricing of single-name CDS based on product market and capital market in a general equilibrium model
• A copula approach for finding the type of dependency with mortality force function in insurance market
• Non-linear Gaussian sovereign CDS pricing models

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