DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choe, Geon Ho | ko |
dc.contributor.author | Jang, Hyun Jin | ko |
dc.date.accessioned | 2013-03-09T15:54:19Z | - |
dc.date.available | 2013-03-09T15:54:19Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2011-03 | - |
dc.identifier.citation | INSURANCE MATHEMATICS ECONOMICS, v.48, no.2, pp.205 - 213 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10203/96788 | - |
dc.description.abstract | 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 appropriate density for importance sampling by analyzing multivariate Archimedean copulas. To justify efficiency and accuracy of the proposed algorithms, we present numerical examples and compare them with the crude Monte Carlo simulation, and finally show that our proposed estimators produce considerably smaller variances. (C) 2010 Elsevier By. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas | - |
dc.type | Article | - |
dc.identifier.wosid | 000287557700005 | - |
dc.identifier.scopusid | 2-s2.0-78649584703 | - |
dc.type.rims | ART | - |
dc.citation.volume | 48 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 205 | - |
dc.citation.endingpage | 213 | - |
dc.citation.publicationname | INSURANCE MATHEMATICS ECONOMICS | - |
dc.identifier.doi | 10.1016/j.insmatheco.2010.10.006 | - |
dc.contributor.localauthor | Choe, Geon Ho | - |
dc.contributor.nonIdAuthor | Jang, Hyun Jin | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Credit risk | - |
dc.subject.keywordAuthor | Archimedean copula | - |
dc.subject.keywordAuthor | Nested Archimedean copula | - |
dc.subject.keywordAuthor | Basket default swap | - |
dc.subject.keywordAuthor | Importance sampling | - |
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