Journals Information
Universal Journal of Applied Mathematics Vol. 4(1), pp. 16 - 21
DOI: 10.13189/ujam.2016.040102
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Pricing Credit Risk Derivatives with R
Giuseppe Bruno *
Bank of Italy, Economics and Statistics, Italy
ABSTRACT
This paper shows the implementation of some pricing techniques for multiname credit derivatives. Among these financial instruments we consider Basket Default Swaps (BDS) and Collateralised Debt Obligations (CDO). The pricing methodologies put forward are based on Monte Carlo simulations. These techniques are written in the R programming language. This software framework provides an ample set of functions for credit risk modelling. Two main issues are put forward in this paper: the first one is the employment of Quasi Random Number (QRN) for reducing the variance of price estimate in the Monte Carlo experiment; the second one is the code parallelization of some pricing techniques using R end-user techniques.
KEYWORDS
Collateralized Debt Obligation, Monte Carlo Methods, One Factor Copula Models
Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Giuseppe Bruno , "Pricing Credit Risk Derivatives with R," Universal Journal of Applied Mathematics, Vol. 4, No. 1, pp. 16 - 21, 2016. DOI: 10.13189/ujam.2016.040102.
(b). APA Format:
Giuseppe Bruno (2016). Pricing Credit Risk Derivatives with R. Universal Journal of Applied Mathematics, 4(1), 16 - 21. DOI: 10.13189/ujam.2016.040102.