Credit migration and basket derivatives pricing with copulas

Berrada, Tony Nicolas; Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; Rémillard, Bruno

doi:10.21314/jcf.2006.145

Professional article

English

Credit migration and basket derivatives pricing with copulas

ContributorsBerrada, Tony Nicolas; Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; Rémillard, Bruno

Published inJournal of computational finance, vol. 10, no. 1, p. 43-68

Publication date2006

Affiliation entities

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

BERRADA, Tony Nicolas et al. Credit migration and basket derivatives pricing with copulas. In: Journal of computational finance, 2006, vol. 10, n° 1, p. 43–68. doi: 10.21314/jcf.2006.145

Article (Accepted version)

Identifiers

PID : unige:45673
DOI : 10.21314/jcf.2006.145

Journal ISSN1460-1559

783views

544downloads

Creation20/01/2015 17:59:00

First validation20/01/2015 17:59:00

Update time27/01/2026 15:50:46

Status update27/01/2026 15:50:46

Last indexation27/01/2026 15:52:47

Archive ouverte UNIGE

Credit migration and basket derivatives pricing with copulas

Technical informations