Geodesic
The Statistical Modeling of Insurance for the Credit Risk of a Bond Portfolio
Sibirskij žurnal industrialʹnoj matematiki, Tome 12 (2009) no. 4, pp. 3-11 Cet article a éte moissonné depuis la source Math-Net.Ru

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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. 
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S. S. Artem'ev; M. N. Prokaeva; A. A. Fëdorov. The Statistical Modeling of Insurance for the Credit Risk of a Bond Portfolio. Sibirskij žurnal industrialʹnoj matematiki, Tome 12 (2009) no. 4, pp. 3-11. http://geodesic.mathdoc.fr/item/SJIM_2009_12_4_a0/

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