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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

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