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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/30049

    Title: Pricing kth-to-Default Swaps: Copula Methods
    Authors: 賴偉聖
    Contributors: 謝淑貞
    Keywords: 信用違約交換
    kth-to-default swaps
    Date: 2006
    Issue Date: 2009-09-11 17:07:51 (UTC+8)
    Abstract: Credit derivatives are instruments that transfer the credit risk from one party to another one. The most common credit derivative is the single entity credit default swap (CDS).A basket default is similar to a single entity CDS except that the underlying obligation is a basket of entities rather than a single reference asset. The copula methods play an important role while we price a multiname product since the assets in the portfolio are not independent. We need to model the correlated default times by using copula functions. In this article, we develop a copula based methodology for pricing -to-default swaps by using market CDS quotes. In order to know the influence of changing price drivers such as correlations and intensities on spreads, we also discuss the sensitivity analysis in this article.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094351030
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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