Journal of Risk
ISSN:
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Basket default swaps, CDOs and factor copulas
Jean-Paul Laurent, Jon Gregory
Abstract
ABSTRACT
We consider a factor approach to the pricing of basket credit derivatives and synthetic collateralized debt obligation (CDO) tranches. Our purpose is to deal in a convenient way with dependent defaults for a large number of names. We provide semi-explicit pricing formulae for basket default swaps and CDO tranches. Two cases are studied in detail: mean-variance mixture models and frailty models. We also compare prices under Gaussian and Clayton copulas.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
