Name
Abstract | ||
|---|---|---|
This paper considers the valuation problem of basket CDSs. Based on the construction of total hazard rates, the paper develops the work of Zheng and Jiang Zheng and Jiang (2009) from the homogenous case to the primary-subsidiary heterogenous case in the interacting intensity framework, and obtains the corresponding joint density of the default time. Moreover, the paper derives the valuation formulae for the basket CDSs with and without counterparty risk. Numerical results robustly show that, under certain conditions, using the analytical pricing formulae derived in this paper is more efficient than the Monte Carlo method for the basket CDS valuation. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1142/S0217595911003144 | ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH |
Keywords | Field | DocType |
Default intensity,contagion,counterparty risk,primary-subsidiary model,basket CDS | Mathematical economics,Monte Carlo method,Economics,Mathematical optimization,Actuarial science,Valuation (finance),Credit risk | Journal |
Volume | Issue | ISSN |
28 | 2 | 0217-5959 |
Citations | PageRank | References |
1 | 0.35 | 1 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jianwei Lin | 1 | 1 | 0.35 |
| Gechun Liang | 2 | 1 | 0.35 |
| Sen Wu | 3 | 617 | 28.98 |
| Harry Zheng | 4 | 28 | 9.30 |