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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, J.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Pricing k-th to default swaps in a Lévy-time framework 
Abstract:
A multivariate credit-risk model is presented which introduces dependence to individual default events via a stochastic time-change. This model is applied to the pricing of k-th to default swaps to demonstrate its practical value. Despite the freedom in specifying the term structures of individual default probabilities it is still possible to present closed-form solutions for the resulting portfolio-loss distribution. Hence, the model can be used to simultaneously explain spreads of individual C...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Credit Risk 
Year:
2009 
Journal volume:
Journal issue:
Pages contribution:
55-70 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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