The Valuation of Basket Credit Derivatives: A Copula Function ...
The Valuation of Basket Credit Derivatives: A Copula Function ...
The Valuation of Basket Credit Derivatives: A Copula Function ...
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Numerical Examples <strong>of</strong> Default Swap Pricing<br />
<strong>Credit</strong> Sw ap Va<br />
Default Correlation vs <strong>Credit</strong> Swap Value<br />
6.00<br />
5.00<br />
4.00<br />
3.00<br />
2.00<br />
1.00<br />
-<br />
-1.50 -1.00 -0.50 - 0.50 1.00 1.50<br />
Default Correlation
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