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Pricing basket default swaps in a tractable shot-noise model

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Academic year: 2021

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Figure

Figure 1. The different kth-to-default spreads for k ≤ 4 as a function of the CDS-spread
Figure 3. The calibrated parameters and the implied five year default probability as function of the CDS-spread.
Figure 4. The kth-to-default spreads for k ≤ 4 as function of the decay rate δ.
Figure 6. The calibrated parameters as a function of the decay rate δ. The CDS spread is 150 bps.

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