Choe, Geon Ho; Jang, Hyun Jin - In: Insurance: Mathematics and Economics 48 (2011) 2, pp. 205-213
We introduce a new importance sampling method for pricing basket default swaps employing exchangeable Archimedean copulas and nested Gumbel copulas. We establish more realistic dependence structures than existing copula models for credit risks in the underlying portfolio, and propose an...