Co-monotonic default quote paths for basket evaluation
To evaluate structured credit products such as default baskets and collateralised debt obligations, it is essential to fully understand the default timing of credit-risky instruments in the underlying reference portfolio. Christian Bluhm and Ludger Overbeck investigate a simulation scheme applicable to such products based on a 'one-variable approach' in the same way as common analytic approximation techniques but applicable to low granularity portfolios with an arbitrary dependence structure and non-uniform default probabilities
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