Price Calibration of basket default swap: Evidence from Japanese market
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More about this item
Keywords
Basket Default Swaps; Credit Curve; Monte Carlo method; Gaussian copula; t-student copula; Japanese market data; CML; Importance Sampling;All these keywords.
JEL classification:
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2007-12-01 (Risk Management)
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