scholarly journals Pricing for Basket CDS and LCDS

2012 ◽  
Vol 03 (02) ◽  
pp. 171-178 ◽  
Author(s):  
Tao Wang ◽  
Jin Liang ◽  
Xiaoli Yang
Keyword(s):  
Basket Cds

THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL

2011 ◽  
Vol 28 (02) ◽  
pp. 213-238 ◽  
Author(s):  
JIANWEI LIN ◽  
GECHUN LIANG ◽  
SEN WU ◽  
HARRY ZHENG
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Numerical Results ◽  
Joint Density ◽  
Hazard Rates ◽  
Counterparty Risk ◽  
Default Time ◽  
The Monte Carlo Method ◽  
Basket Cds ◽  
Homogenous Case

This paper considers the valuation problem of basket CDSs. Based on the construction of total hazard rates, the paper develops the work of Zheng and Jiang Zheng and Jiang (2009) from the homogenous case to the primary-subsidiary heterogenous case in the interacting intensity framework, and obtains the corresponding joint density of the default time. Moreover, the paper derives the valuation formulae for the basket CDSs with and without counterparty risk. Numerical results robustly show that, under certain conditions, using the analytical pricing formulae derived in this paper is more efficient than the Monte Carlo method for the basket CDS valuation.

scholarly journals Basket CDS pricing with interacting intensities

2009 ◽  
Vol 13 (3) ◽  
pp. 445-469 ◽  
Author(s):  
Harry Zheng ◽  
Lishang Jiang
Keyword(s):  
Basket Cds
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