Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives

被引：0
作者：
Umeorah, Nneka [1 ]
Mashele, Phillip [1 ]
Ehrhardt, Matthias [2 ]
机构：
[1] North West Univ, Ctr Business Math & Informat, 11-13 Hoffman St, ZA-2531 Potchefstroom, South Africa
[2] Bergische Univ, Fak Math & Nat Wissensch Angew Math & Numer Anal, Gaussstr 20, D-42119 Wuppertal, Germany
来源：
JOURNAL OF CREDIT RISK | 2021年 / 17卷 / 01期
关键词：
copulas; elliptical copulas; Archimedean copulas; basket credit default swaps; Monte Carlo simulations; default times; sensitivity analysis; DEFAULT SWAPS; VALUATION;
D O I：
10.21314/JCR.2020.263
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate the default times and to calculate the swap payment legs and the cumulative swap premium. The numerical experiments reveal some sensitivity analysis on the impact of swap parameters on the fair prices of the nth-to-default swaps. Finally, using the results presented, an appropriate choice of copula model can be made based on the computation time of the valuation process, and such a choice hugely affects the quantitative risk analysis of the portfolio.
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页码：1 / 29
页数：29
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