摘要翻译：
本文提出了一种简单而有效的方法，在相互作用强度违约传染模型下，计算齐次和两组异质情况下的有序违约时间分布。给出了有序缺省时间分布的解析表达式，并给出了系数的递推公式，从而使求篮式CDSS速率的计算速度更快、效率更高。在齐次情形下，我们研究了极限情形下的有序缺省时间，并进一步包括指数衰减和多态随机强度过程。数值研究表明，在互换利率的估值及其对基础参数的敏感性方面，我们提出的模型优于蒙特卡罗方法。
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英文标题：
《On Pricing Basket Credit Default Swaps》
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作者：
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu and Harry Zheng
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the analytical expressions for the ordered default time distributions with recursive formulas for the coefficients, which makes the calculation fast and efficient in finding rates of basket CDSs. In the homogeneous case, we explore the ordered default time in limiting case and further include the exponential decay and the multistate stochastic intensity process. The numerical study indicates that, in the valuation of the swap rates and their sensitivities with respect to underlying parameters, our proposed model outperforms the Monte Carlo method.
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PDF链接：
https://arxiv.org/pdf/1204.4025