DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choe, Geon Ho | ko |
dc.contributor.author | Jang, Hyun Jin | ko |
dc.date.accessioned | 2013-03-08T17:14:09Z | - |
dc.date.available | 2013-03-08T17:14:09Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | QUANTITATIVE FINANCE, v.11, pp.1793 - 1801 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | http://hdl.handle.net/10203/93705 | - |
dc.description.abstract | We propose an alternative method for finding the kth default time distribution in a homogeneous portfolio with dependency. Analysing order statistics of default times with a one-factor Gaussian copula model, we explicitly derive the probability distribution. Moreover, we compute the prices of basket default swaps such as the kth to default swaps and m out of n default swaps within our framework. To test the efficiency and accuracy of our method we compare the theoretical prediction with existing methods. | - |
dc.language | English | - |
dc.publisher | ROUTLEDGE JOURNALS | - |
dc.title | The kth default time distribution and basket default swap pricing | - |
dc.type | Article | - |
dc.identifier.wosid | 000299887800008 | - |
dc.identifier.scopusid | 2-s2.0-84859241694 | - |
dc.type.rims | ART | - |
dc.citation.volume | 11 | - |
dc.citation.beginningpage | 1793 | - |
dc.citation.endingpage | 1801 | - |
dc.citation.publicationname | QUANTITATIVE FINANCE | - |
dc.identifier.doi | 10.1080/14697688.2010.494611 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Choe, Geon Ho | - |
dc.contributor.nonIdAuthor | Jang, Hyun Jin | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Asset pricing | - |
dc.subject.keywordAuthor | Applications to default risk | - |
dc.subject.keywordAuthor | Applied mathematical finance | - |
dc.subject.keywordAuthor | Continuous time finance | - |
dc.subject.keywordAuthor | Credit default swaps | - |
dc.subject.keywordAuthor | Credit derivatives | - |
dc.subject.keywordAuthor | Martingales | - |
dc.subject.keywordAuthor | Stochastic differential equations | - |
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