Copula based simulation procedures for pricing basket Credit Derivatives

@inproceedings{Abid2007CopulaBS,
  title={Copula based simulation procedures for pricing basket Credit Derivatives},
  author={Fathi Abid and Nader Naifar},
  year={2007}
}
This paper deals with the impact of structure of dependency and the choice of procedures for rareevent simulation on the pricing of multi-name credit derivatives such as n to default swap and Collateralized Debt Obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based… CONTINUE READING