In this chapter we present a model for the valuation of some multiname credit derivatives. Pricing methods use standard techniques of risk-neutral valuation, while the risk of the underlying credit portfolio uses both traditional tools of credit risk valuations of actuarial kind and more recent ones like copula functions for modeling the dependence structure between the debtors [see, for example, Masala et al. (2004)]. Several numerical applications conclude the chapter.
Pricing credit derivatives with a copula-based actuarial model for credit risk
MASALA, G.;MICOCCI, M.
2008-01-01
Abstract
In this chapter we present a model for the valuation of some multiname credit derivatives. Pricing methods use standard techniques of risk-neutral valuation, while the risk of the underlying credit portfolio uses both traditional tools of credit risk valuations of actuarial kind and more recent ones like copula functions for modeling the dependence structure between the debtors [see, for example, Masala et al. (2004)]. Several numerical applications conclude the chapter.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
06_Masala.pdf
Solo gestori archivio
Tipologia:
versione post-print (AAM)
Dimensione
264.97 kB
Formato
Adobe PDF
|
264.97 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I metadati presenti in IRIS UNICA sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono protetti da diritto d'autore, salvo diversa indicazione.
