Concept

Credit derivative

Related publications (43)

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Total Synthesis and Neuritotrophic Activity of Farinosone C and Derivatives

Karl Gademann, Henning Jessen

An efficient synthesis of all four possible stereoisomers of the neurotrophic amide farinosone C was developed. The absolute and relative configuration was assigned by comparison of synthetic material with a derivatized authentic sample of the natural prod ...

2009

Term-Structure Models: A Graduate Course

Damir Filipovic

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...

Springer Finance2009

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Anders Trolle

Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analyti ...

Oxford University Press2009

Option Pricing with Model-Guided Nonparametric Methods

Loriano Mancini

Parametric option pricing models are largely used in Finance. These models capture several features of asset price dynamics. However, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that ...

American Statistical Association2009

Real estate and portfolio risk: an analysis based on copula functions

Matthieu Dulguerov

This article examines the risk-return trade-off of a mixed-asset portfolio that includes real estate using copula functions. In particular, it analyses the role of direct as opposed to securitised real estate in terms of diversification when the dependence ...

Taylor & Francis2009

Credit Derivatives in an Affine Framework

Damir Filipovic, Li Chen

An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three forms. As an application ...

2007

Capital structure, credit risk, and macroeconomic conditions

Erwan Morellec

This paper develops a framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to ...

2006

Capital structure and asset prices: Some effects of bankruptcy procedures

Erwan Morellec

We examine the impact of the U.S. bankruptcy procedure on the valuation of corporate securities and capital structure decisions. We provide closed-form solutions for corporate debt and equity values when defaulting firms can either liquidate their assets o ...

2004

Local parametric analysis of derivatives pricing and hedging

A novel methodology for the analysis of derivatives pricing in incomplete markets is tested empirically. The methodology generates hedge ratios and derivatives prices. They are estimated from the correlation structure between the local co-movements of secu ...

2003

Metabolism of atrazine and derivatives in vetiver plants

Jean-Paul Schwitzguebel, Sylvie Vullioud-Marcacci

Metabolism of atrazine and derivatives in vetiver plants ...

2003