IEEE - Institute of Electrical and Electronics Engineers, Inc. - Nth CDS Monte Carlo Pricing under Stochastic Recovery Rates

2010 International Conference on Electrical and Control Engineering (ICECE 2010)

Author(s): Wu Heng-yu ; Chen Peng ; Xiong Ling-yun ; Yan Wu
Sponsor(s): IEEE
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 June 2010
Conference Location: Wuhan, China
Conference Date: 25 June 2010
Page(s): 1,385 - 1,388
ISBN (CD): 978-0-7695-4031-3
ISBN (Electronic): 978-1-4244-6881-2
ISBN (Paper): 978-1-4244-6880-5
DOI: 10.1109/iCECE.2010.343
Regular:

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... View More

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