Basket Credit Derivative Pricing in a Markov Chain Model with Interacting Intensities

<table class="table-group" id="tab1"><tr><td><table class="table"><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr class="thead"><td class="align_left"><i>k</i>th</td><td class="align_center">Premium rate (%)</td></tr><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr><td class="align_left">1st</td><td class="align_center">60.3724</td></tr><tr><td class="align_left">2nd</td><td class="align_center">28.7716</td></tr><tr><td class="align_left">3rd</td><td class="align_center">17.2977</td></tr><tr><td class="align_left">4th</td><td class="align_center">13.5195</td></tr><tr><td class="align_left">5th</td><td class="align_center">8.3919</td></tr><tr><td class="align_left">6th</td><td class="align_center">4.4503</td></tr><tr><td class="align_left">7th</td><td class="align_center">1.8347</td></tr><tr><td class="align_left">8th</td><td class="align_center">0.4272</td></tr><tr><td class="align_left">9th</td><td class="align_center">0.0565</td></tr><tr><td class="align_left">10th</td><td class="align_center">0.0000009</td></tr><tr class="table-tr"><td colspan="2"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>The premium rates of the <i>k</i>th-to-default CDS.</div>

Mathematical Problems in Engineering

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Table 1

Table 1: Basket Credit Derivative Pricing in a Markov Chain Model with Interacting Intensities 