- 1 Introduction
- 2 Homogeneous class of assets
- 2.1 Definition and assumptions
- 2.2 Examples
- 3 Large portfolio approximation
- 3.1 Approximation theorem
- 3.2 Approximate pricing formula
- 3.3 Default and migration correlation
- 4 Derivatives written on a factor proxy
- 4.1 Approximate pricing of derivatives written on a default frequency
- 4.2 Derivatives written on default frequencies vs derivatives writtenon default probabilities
- 4.3 Approximate pricing of derivatives written on a factor proxy
- 4.4 Comparison with the literature on large portfolio approximations
- 5 Numerical illustration to basket default swap
- 5.1 Parameter values of the one-factor firm value model
- 5.2 Patterns of factor distributions and derivative prices
- 5.3 Monte-Carlo
- 6 Concluding remarks
- References
- Appendix
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