The forward starting CDO (FSCDO) valuation model serves the purpose of pricing FSCDO trades, which are defined as a forward agreement to enter into a CDO trade at some time in the future. Any obligor defaults before the forward starting date will be replaced by a risk free asset with the same notional amount.https://ia904709.us.archive.org/7/items/forward-starting-option/ForwardStartingOption.pd
這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後...
In this paper we present a new arbitrage-free bottomup model of correlated defaults, based on a spec...
Some investors in the Collateralized Debt Obligations (CDOs) market have been publicly accused of no...
The forward starting CDO (FSCDO) valuation model serves the purpose of pricing a forward starting CD...
The European credit default swap option (CDSO) valuation model is employed to price an option that g...
Forward start option is an option whose strike will be determined at some later date. Unlike a stand...
The credit derivative model serves the purpose of pricing and calculating sensitivities for the cred...
A forward starting option is an option whose strike price is not fully determined until an intermedi...
The model serves the purpose of pricing a non-vanilla synthetic CDO trade, where the maturities of t...
The model is a non-parametric approach to value complex CDO structures that need to be priced using ...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
A pricing model is presented to calculate Mark-to-Market (MTM) and all sensitivities for basket defa...
The deferred CDO coupon payment valuation model serves the purpose of valuing the accumulated coupon...
A variable maturity GiantFirstLoss trade has a non-vanilla collateral debt obligation (CDO) structur...
A commodity futures (contract) swap (CFS) is a linear portfolio of forward contracts on commodity fu...
這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後...
In this paper we present a new arbitrage-free bottomup model of correlated defaults, based on a spec...
Some investors in the Collateralized Debt Obligations (CDOs) market have been publicly accused of no...
The forward starting CDO (FSCDO) valuation model serves the purpose of pricing a forward starting CD...
The European credit default swap option (CDSO) valuation model is employed to price an option that g...
Forward start option is an option whose strike will be determined at some later date. Unlike a stand...
The credit derivative model serves the purpose of pricing and calculating sensitivities for the cred...
A forward starting option is an option whose strike price is not fully determined until an intermedi...
The model serves the purpose of pricing a non-vanilla synthetic CDO trade, where the maturities of t...
The model is a non-parametric approach to value complex CDO structures that need to be priced using ...
We consider a collateralized debt obligation (CDO) with standard credit default swap (CDS) indices a...
A pricing model is presented to calculate Mark-to-Market (MTM) and all sensitivities for basket defa...
The deferred CDO coupon payment valuation model serves the purpose of valuing the accumulated coupon...
A variable maturity GiantFirstLoss trade has a non-vanilla collateral debt obligation (CDO) structur...
A commodity futures (contract) swap (CFS) is a linear portfolio of forward contracts on commodity fu...
這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後...
In this paper we present a new arbitrage-free bottomup model of correlated defaults, based on a spec...
Some investors in the Collateralized Debt Obligations (CDOs) market have been publicly accused of no...
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