Market-implied risk-neutral probabilities, actual probabilities, credit risk and news
نویسندگان
چکیده
منابع مشابه
Worst - Case Tail Probabilities in Credit Risk
Simulation is widely used to measure credit risk in portfolios of loans, bonds, and other instruments subject to possible default. This analysis requires performing the difficult modeling task of capturing the dependence between obligors adequately. Current methods assume a form for the joint distribution of the obligors and match its parameters to given dependence specifications, usually corre...
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The relation between physical probabilities (rating) and risk-neutral probabilities (pricing) is derived in a large market with a quasi-factor structure. Factor sensitivities and default probabilities can be estimated for all kinds of credits on historical rating data. Since factor prices are obtainable from market data, the model allows the pricing of non-marketable credits and structured prod...
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The aim of this paper is to price an American style option when there is uncertainty on the volatility of the underlying asset. An option contract can be either European or American style depending on whether the exercise is possible only at or also before the expiry date. A European option gives the holder the right to buy or sell the underlying asset only at the expiry date of the option. On ...
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An exchange economy is considered, where agents (insurers/banks) trade risks. Decision making takes place under distorted probabilities, which are used to represent either rank-dependence of preferences or ambiguity with respect to real-world probabilities. Pricing formulas and risk allocations, generalising the results of Bühlmann (1980, 1984) are obtained via the construction of aggregate pre...
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For annuity providers, longevity risk, i.e. the risk that future mortality trends differ from those anticipated, constitutes an important risk factor. In order to manage this risk, new financial products will be needed. One of the basic building blocks for such mortality backed securities is the so-called survivor or longevity bond, the future payments of which depend on the survival rates of a...
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ژورنال
عنوان ژورنال: IIMB Management Review
سال: 2011
ISSN: 0970-3896
DOI: 10.1016/j.iimb.2011.06.005