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Credit Curve
Basket Default Swaps
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CML
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Gaussian copula
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Price Calibration of basket default swap: Evidence from Japanese market
Fathi, Abid
;
Nader, Naifar
-
Volkswirtschaftliche Fakultät, …
-
2007
The aim of this paper is the price calibration of basket default swap from
Japanese
market
data
. The value of this …) for calibrating t-student copula to
Japanese
market
data
. …
Persistent link: https://www.econbiz.de/10005260302
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