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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An Numerical Example<br />
Input Parameter<br />
hazard rate = 0.1,<br />
Interest rate = 0.1<br />
Asset Correlation = 0.25<br />
Value<br />
1<br />
0.9<br />
0.8<br />
0.7<br />
0.6<br />
0.5<br />
0.4<br />
0.3<br />
0.2<br />
0.1<br />
0<br />
<strong>The</strong> Value <strong>of</strong> the ith-to-default Contract<br />
0 5 10 15 20 25 30 35 40 45 50 55<br />
Number <strong>of</strong> Asset<br />
First-to-default<br />
Second-to-default<br />
Third-to-default
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