In this paper we present a model for the valuation of some credit derivatives of multinames kind. Pricing uses standard techniques of risk neutral valuation while the risk of the underlying credit portfolio uses both traditional tools of credit risk valuations of actuarial kind and more recent ones like copula functions for modeling the dependence structure between the obligors. Several numerical applications conclude the paper.
Pricing Credit Derivatives with a Copula-Based Actuarial Model for Credit Risk
MENZIETTI, MASSIMILIANO;
2008-01-01
Abstract
In this paper we present a model for the valuation of some credit derivatives of multinames kind. Pricing uses standard techniques of risk neutral valuation while the risk of the underlying credit portfolio uses both traditional tools of credit risk valuations of actuarial kind and more recent ones like copula functions for modeling the dependence structure between the obligors. Several numerical applications conclude the paper.File in questo prodotto:
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