LI, PING; CHEN, HOUSHENG; DENG, XIAOTIE; ZHANG, SHUNMING - In: International Journal of Information Technology & … 05 (2006) 03, pp. 483-493
Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative —...