Advances and Applications in Statistics
Volume 36, Issue 1, Pages 1 - 11
(September 2013)
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THE MODEL FOR CDS PRICING BASED ON THE GAUSSIAN COPULA METHOD
Maojun Zhang, Xueni Zhao and Jiangxia Nan
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Abstract: In this paper, a single factor Gaussian Copula model is constructed to compute the valuation of credit default swap (CDS) with counterparty default risk. The joint default distribution function of the reference entity and seller is given, and the closed price of CDS is obtained by using the non-arbitrage pricing principle. Therefore, our method proposed for calculating the prices of CDS is new and useful for the investor. |
Keywords and phrases: CDS, copula method, credit risk, asset pricing. |
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