Pricing Default Baskets

• 2 January 2012
• book chapter
• Published by Wiley
• p. 283-301
• https://doi.org/10.1002/9781119201960.ch15

Abstract

Keywords

• FIRST-TO-DEFAULT (FTD) SPREAD
• ISSUER'S BONDS
• ONE-DIMENSIONAL INTEGRAL
• TRAPEZIUM RULE OR GAUSSIAN QUADRATURE
• STUDENT-T COPULA
• TRAPEZIUM RULE