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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