Price Calibration of basket default swap: Evidence from Japanese market
Year of publication: |
2007-09-25
|
---|---|
Authors: | Fathi, Abid ; Nader, Naifar |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Basket Default Swaps | Credit Curve | Monte Carlo method | Gaussian copula | t-student copula | Japanese market data | CML | Importance Sampling |
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