Title: The Pricing of Credit Default Swap with Counterparty Risk Based on Copula Approach
Abstract: The paper discusses the problem of pricing of credit default swap with counterparty risk,and obtains the pricing formula of the model with arbitrage-free principle.The prices of the model are obtained by means of the Monte-Carlo simulation.It analyses the relationship between the prices and the maturity and the default correlation coefficient.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
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