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Sibirskii Zhurnal Industrial'noi Matematiki, 2009, Volume 12, Number 4, Pages 3–11 (Mi sjim577)  
The Statistical Modeling of Insurance for the Credit Risk of a Bond Portfolio

S. S. Artem'evab, M. N. Prokaevab, A. A. Fëdorovc

a Institute of Computational Mathematics and Mathematical Geophysics, SB RAS, Novosibirsk
b Novosibirsk State University, Novosibirsk
c Novosibirsk State Technical University, Novosibirsk
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Abstract: We study statistical modeling algorithms for bond default times in a portfolio with various interdependencies, as well as algorithms for computing the amount of the credit default swap coupon. Considering the distribution of the bond portfolio owner's earnings or losses with and without insurance, we present the results of some numerical experiments.
Keywords: bond default time, credit default swap, insurance coupon size, earnings/losses distribution, statistical modeling.
Received: 17.01.2009
Revised: 20.10.2009
UDC: 519.24+336.71
Language: Russian
Citation: S. S. Artem'ev, M. N. Prokaeva, A. A. Fëdorov, “The Statistical Modeling of Insurance for the Credit Risk of a Bond Portfolio”, Sib. Zh. Ind. Mat., 12:4 (2009), 3–11
Citation in format AMSBIB
\Bibitem{ArtProFed09}
\by S.~S.~Artem'ev, M.~N.~Prokaeva, A.~A.~F\"edorov
\paper The Statistical Modeling of Insurance for the Credit Risk of a~Bond Portfolio
\jour Sib. Zh. Ind. Mat.
\yr 2009
\vol 12
\issue 4
\pages 3--11
\mathnet{http://mi.mathnet.ru/sjim577}
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