This paper explores a reasonable coupon rate for basket credit linked notes (BCLN) with issuer default risk. Based on the one factor Gaussian copula model, this paper proposes three methods of incorporating issuer default into BCLN pricing. Numerical results indicate that issuer default risk...

Chan and Maheu (2002) developed a GARCH-jump mixture model, namely, the GARCH-jump with autoregressive conditional jump intensity (GARJI) model, in which two conditional independent processes, i.e., a diffusion and a compounded Poisson process, are used to describe stock price movements caused...