Email this article VALUATION OF CORRELATION-DEPENDENT CREDIT DERIVATIVES
- Authors: Slepov D.S.1, Slepov DS1
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Affiliations:
- Issue: Vol 12, No 3 (2011)
- Pages: 85-88
- Section: Articles
- URL: https://journals.eco-vector.com/2712-8970/article/view/516419
- ID: 516419
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Abstract
This paper addresses the pricing of correlation-dependent credit derivatives. We first examine the one-factor Gaussian
copula model that has become the market standard. Then we present a new approach to model parametrically
a dependence structure. Our approach is based on using a multiplicative approximation. Eventually, we use a numerical
example to compare these models.
copula model that has become the market standard. Then we present a new approach to model parametrically
a dependence structure. Our approach is based on using a multiplicative approximation. Eventually, we use a numerical
example to compare these models.
References
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