This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate the default times and to calculate the swap payment legs and the cumulative swap premium. The numerical experiments reveal some sensitivity analysis on the impact of swap parameters on the fair prices of the 𝑛th-to-default swaps. Finally, using the results presented, an appropriate choice of copula model can be made based on the computation time of the valuation process, and such a choice hugely affects the quantitative risk analysis of the portfolio.

中文翻译：

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椭圆和阿基米德 copula 模型：在投资组合信用衍生品价格估计中的应用

本文探讨了椭圆和阿基米德 copula 模型对一揽子违约互换估值的影响。我们结合 copula 模型使用蒙特卡罗模拟来估计违约时间并计算掉期支付腿和累积掉期溢价。数值实验揭示了一些关于掉期参数对违约掉期公平价格影响的敏感性分析。最后，利用给出的结果，可以根据估值过程的计算时间做出适当的 copula 模型选择，这种选择极大地影响了投资组合的定量风险分析。