DocumentCode
2995607
Title
Nth CDS Monte Carlo Pricing under Stochastic Recovery Rates
Author
Heng-yu, Wu ; Peng, Chen ; Ling-yun, Xiong ; Wu, Yan
Author_Institution
Sch. of Finance, Jiangxi Univ. of Finance & Econ., Nanchang, China
fYear
2010
fDate
25-27 June 2010
Firstpage
1385
Lastpage
1388
Abstract
Recovery rates play an important role in Nth CDS pricing, while, it´s difficult to get realistic recovery rates. Assuming that the recovery rates are stochastic and follow different Copulas with corresponding default times. Under this assumption, we develop a simulation Algorithm to price the Nth CDS. According to the result of simulation pricing, the prices of Nth CDS are different under the condition of constant recovery rates, stochastic independent recovery rates and Copula structure recovery rates.
Keywords
Monte Carlo methods; contracts; pricing; stochastic processes; Copula; Nth CDS Monte Carlo pricing; simulation pricing; stochastic recovery rate; Biological system modeling; Contracts; Correlation; Economics; Finance; Pricing; Random variables; Copula; Credit default swap; Monte Carlo simulation; Stochastic recovery rates;
fLanguage
English
Publisher
ieee
Conference_Titel
Electrical and Control Engineering (ICECE), 2010 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-6880-5
Type
conf
DOI
10.1109/iCECE.2010.343
Filename
5630651
Link To Document