Modeling basket credit default swaps with default contagion
The specification of a realistic dependence structure is key to the pricing of multi-name credit derivatives. We value small kth-to-default CDS baskets in the presence of asset correlation and default contagion. Using a first-passage framework, firm values are modeled as correlated geometric Brownia...
| Main Authors: | , |
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| Format: | Journal article |
| Published: |
2006
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