Valuation of correlation-dependent credit derivatives
Автор: Slepov D.S.
Журнал: Сибирский аэрокосмический журнал @vestnik-sibsau
Рубрика: Математика, механика, информатика
Статья в выпуске: 3 (36), 2011 года.
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This paper addresses the pricing of correlation-dependent credit derivatives. We first examine the one-factor Gaussian copula model that has become the market standard. Then we present a new approach to model parametrically a dependence structure. Our approach is based on using a multiplicative approximation. Eventually, we use a numerical example to compare these models.
Credit derivatives, gaussian copula, eventology, wide dependence of events, multiplicative approximation, default correlation
Короткий адрес: https://sciup.org/148176625
IDR: 148176625