Fast Pricing of Basket Default Swaps Zhiyong Chen


A basket default swap is a derivative security tied to an underlying basket of corporate bonds or other assets subject to credit risk. The value of the contract depends on the joint distribution of the default times of the underlying assets. Valuing a basket default swap often entails Monte Carlo simulation of these default times. For baskets of high… (More)

7 Figures and Tables


  • Presentations referencing similar topics