Basket Default Swaps, Cdos and Factor Copulas
Basket Default Swaps, Cdos and Factor Copulas
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DOI：
10.21314/jor.2005.115
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发表时间：
2005-11
期刊：
影响因子：
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通讯作者：
J. Gregory;J. Laurent
中科院分区：
文献类型：
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作者：
J. Gregory;J. Laurent
We consider a factor approach to the pricing of basket credit derivatives and synthetic collateralized debt obligation (CDO) tranches. Our purpose is to deal in a convenient way with dependent defaults for a large number of names. We provide semi-explicit pricing formulae for basket default swaps and CDO tranches. Two cases are studied in detail: mean-variance mixture models and frailty models. We also compare prices under Gaussian and Clayton copulas.
