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搜索结果: 1-5 共查到货币银行学 Credit Derivatives相关记录5条 . 查询时间(0.078 秒)
Credit derivatives are financial contracts that offer protection against credit risk of bonds or loans. The most common forms of credit derivatives are credit default swaps, total return swaps, credit...
This paper introduces a new semi-parametric approach to the pricing and risk management of bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto more than one ref...
We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based o...
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial inn...
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...

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