Efficient hybrid methods for portfolio credit derivatives

In this paper we discuss the computation of basket credit default swaps and collateralized debt obligation squared transactions. We suggest two hybrid algorithms for these two portfolio credit derivatives. The method combines the analytic approximation to the loss distribution of conditionally independent heterogeneous portfolios with the Monte Carlo simulation. The efficiency and accuracy of the algorithms are illustrated with examples.

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Year of publication:	2006
Authors:	Zheng, H.
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 4, p. 349-357
Publisher:	Taylor & Francis Journals
Subject:	Heterogeneous portfolios \| Normal approximations \| Hybrid algorithms \| Basket credit default swaps \| CDO squared distributions

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005639924