Title :
Pricing BDS Based on Distorted Copulas Functions
Author :
Chen, Zhengsheng ; Qin, Xuezhi
Author_Institution :
Sch. of Manage., Dalian Univ. of Technol, Dalian
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;
Conference_Titel :
MultiMedia and Information Technology, 2008. MMIT '08. International Conference on
Conference_Location :
Three Gorges
Print_ISBN :
978-0-7695-3556-2
DOI :
10.1109/MMIT.2008.125
