Basket Default Swaps
Coauthors: Davide Meneguzzo, Giacomo Le Pera
We price swaps written on a basket of liabilities whose default probability is modeled using copula functions. Alternative pricing methods are illustrated and compared.
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Coauthors: Davide Meneguzzo, Giacomo Le Pera
We price swaps written on a basket of liabilities whose default probability is modeled using copula functions. Alternative pricing methods are illustrated and compared.
Files