How Does the Transparency of Information Affect the Spreads of Basket Default Swap？
碩士 === 國立交通大學 === 財務金融研究所 === 98 === This paper emphasizes on how the transparency of information influences the credit spread of basket default swap with a first passage time model. In addition, one factor Gaussian copula model is used to measure the default correlation between reference entities....
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| Format: | Others |
| Language: | en_US |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91100061006798819473 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 98 === This paper emphasizes on how the transparency of information influences the credit spread of basket default swap with a first passage time model. In addition, one factor Gaussian copula model is used to measure the default correlation between reference entities. Numerical results show that the more transparent the information is, the less the credit spread of basket default swaps is, especially for the first to default basket default swap.
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