Do Leveraged Credit Derivatives Modify Credit Allocation ?
Texte intégral
Figure
Documents relatifs
En 2005, les Urbanisti Associati, Kamber-Maggini et le bureau fribour- geois Team+ présentaient un avant-pro- jet unanimement salué et dont le princi¬ pe était accepté par
We have made precise different pricing probabilities. First of all, we assume that a pricing probability Q is given with respect to the filtration F of the fundamental process X.
On the other hand, our model allows for incorporating several credit names, and thus it is suitable when dealing with valuation of basket credit products (such as, basket credit
Abstract Two nonlinear Monte Carlo schemes, namely, the linear Monte Carlo ex- pansion with randomization of Fujii and Takahashi (2012a,2012b) and the marked branching diffusion
Through stochastic optimal control methods, we use indifference pricing with exponential utility function to determine the defaultable bond prices and Credit Default Swap
In the case of credit derivatives, the first risk is the occurrence of a default (a movement of the price of the underlying equity), and the second is a variation of its
After describing the operating principles of credit derivatives in general and CDS in particular, we construct two difference VAR models on the series: the share return rates,
Section 1 and 2 provide a detailed derivation of the hedging portfolio in a pure jump dynamics for the risky bond, whereas Section 3 deals with the more realistic case of a
