2010
DOI: 10.1142/s0219024910005735
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Fast Valuation of Forward-Starting Basket Default Swaps

Abstract: A basket default swap (BDS) is a credit derivative with contingent payments that are triggered by a combination of default events of the reference entities. A forwardstarting basket default swap (FBDS) is a BDS starting at a specified future time.Existing analytic or semi-analytic methods for pricing FBDS are time consuming due to the large number of possible default combinations before the BDS starts. This paper develops a fast approximation method for FBDS based on the conditional independence framework. The… Show more

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