Credit derivatives - Explaining the Lévy base correlation smile - The authors look at base expected loss at maturity both in the Gaussian copula and Lévy-based models, and link it to base correlation in these frameworks. They report on the existence of smile in both base correlation curves and discuss different interpolation methodologies in the absence of arbitrage. Finally, they discuss the ...
| Year of publication: |
2008
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|---|---|
| Authors: | Garcia, Joao ; Goossens, Serge |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 7, p. 84-88
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