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Titel:

Pricing k-th to default swaps in a Lévy-time framework

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
Journal of Credit Risk
Jahr:
2009
Band / Volume:
5
Heft / Issue:
3
Seitenangaben Beitrag:
55-70
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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