DocumentCode
2150580
Title
Pricing BDS Based on Distorted Copulas Functions
Author
Chen, Zhengsheng ; Qin, Xuezhi
Author_Institution
Sch. of Manage., Dalian Univ. of Technol, Dalian
fYear
2008
fDate
30-31 Dec. 2008
Firstpage
771
Lastpage
774
Abstract
The appearance of new Copula functions-distorted Copula functions are attracted more and more attention. In this paper, by using Monte Carlo simulation, we find that the tail dependence of distorted Copula functions is better than that of normal Gaussian Copula functions. By using distorted copula functions to price BDS, we investigate the default risk of the BDS. The results show that the distorted Copula functions can be served as an effective tool for investigating BDS.
Keywords
Monte Carlo methods; credit transactions; pricing; Monte Carlo simulation; basket credit default swaps pricing; distorted Copulas functions; Conference management; Electronic mail; Finance; Information technology; Insurance; Predistortion; Pricing; Tail; Technological innovation; Technology management; Basket credit default swaps; Distorted Copulas functions; Distortion functions; Monte Carlo simulation;
fLanguage
English
Publisher
ieee
Conference_Titel
MultiMedia and Information Technology, 2008. MMIT '08. International Conference on
Conference_Location
Three Gorges
Print_ISBN
978-0-7695-3556-2
Type
conf
DOI
10.1109/MMIT.2008.125
Filename
5089236
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