Title: Pricing the credit default swap rate for jump diffusion default intensity processes.
Authors: Ma, Yong-Ki; Kim, Jeong-Hoon
Abstract: The article focuses on the intensity-based credit risk model regarding the credit default swap (CDS) rate pricing. It states that Farlie-Gumbel-Morgenstern (FGM) copula, an Archimedean copula, was used to determine the joint Laplace transform and to examine the dependence structure of default intensity process. It says that sensitivity analyses was performed to investigate CDS rate functional behavior. It It also mentions the increase of the primary event rate as CDS rate grows.
Subjects: CREDIT ratings; CREDIT management; CREDIT risk; COPULA functions; LAPLACE transformation; DEPENDENCE (Statistics); DIFFUSION indexes
Publication: Quantitative Finance, 2010, Vol 10, Issue 8, p809
ISSN: 1469-7688
Publication type: Academic Journal
DOI: 10.1080/14697680903382768

Pricing the credit default swap rate for jump diffusion default intensity processes.

Ma, Yong-Ki; Kim, Jeong-Hoon