منابع مشابه
Valuation of forward-starting CDOs
A forward starting CDO is a single tranche CDO with a specified premium starting at a specified future time. Pricing and hedging forward starting CDOs has become an active research topic. We present a method for pricing a forward starting CDO by converting it to an equivalent synthetic CDO. The value of the forward starting CDO can then be computed by the well developed methods for pricing the ...
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A basket default swap (BDS) is a credit derivative with contingent payments that are triggered by a combination of default events of the reference entities. A forwardstarting basket default swap (FBDS) is a BDS starting at a specified future time. Existing analytic or semi-analytic methods for pricing FBDS are time consuming due to the large number of possible default combinations before the BD...
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We study the impact of risk-aversion on the valuation of credit derivatives. Using the technology of utility-indifference pricing in intensity-based models of default risk, we analyze resulting yield spreads in multiname credit derivatives, particularly CDOs. We study first the idealized problem with constant intensities where solutions are essentially explicit. We also give the large portfolio...
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In this paper, we study starting point bias in double-bounded contingent valuation surveys. This phenomenon arises in applications that use multiple valuation questions. Indeed, response to follow-up valuation questions may be influenced by the bid proposed in the initial valuation question. Previous researches have been conducted in order to control for such an effect. However, they find that ...
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ژورنال
عنوان ژورنال: International Journal of Computer Mathematics
سال: 2009
ISSN: 0020-7160,1029-0265
DOI: 10.1080/00207160802380959