Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

Insurance: Mathematics and Economics

Volumn 48, Issue 2, 2011, Pages 205-213

  Choe, Geon Ho ^a   Jang, Hyun Jin ^b  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^b Samsung Advanced Institute of Technology (SAIT)   (South Korea)

Author keywords

Archimedean copula; Basket default swap; Credit risk; Importance sampling; Nested Archimedean copula

Indexed keywords

EID: 78649584703     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2010.10.006     Document Type: Article

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