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The valuation of special purpose vehicles by issuing structured credit-linked notes
market and credit risk analytic formulas Special Purpose Vehicle spot rate and equity index market
2011/9/2
With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Pu...
VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
Black formula credit default index swap Credit default swap credit default swaption hedging
2011/8/22
The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special ...
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...