Titlebook: Credit Correlation; Theory and Practice Youssef Elouerkhaoui Book 2017 The Editor(s) (if applicable) and The Author(s), under exclusive lic

Kennedy

書目名稱Credit Correlation影響因子(影響力)




書目名稱Credit Correlation影響因子(影響力)學(xué)科排名




書目名稱Credit Correlation網(wǎng)絡(luò)公開度




書目名稱Credit Correlation網(wǎng)絡(luò)公開度學(xué)科排名




書目名稱Credit Correlation被引頻次




書目名稱Credit Correlation被引頻次學(xué)科排名




書目名稱Credit Correlation年度引用




書目名稱Credit Correlation年度引用學(xué)科排名




書目名稱Credit Correlation讀者反饋




書目名稱Credit Correlation讀者反饋學(xué)科排名

獸群

Correlation Skew: A Black-Scholes Approachlack volatility surface, we parameterize the loss distribution with a Stochastic CEV model. We show that this parametric form gives a very good fit to the market tranche quotes. In addition, we give an application of the correlation skew Black approach to risk management and hedging.

Ascendancy

Static Replicationidea. In this chapter, we describe how this static FTD replication is done: first, we show the relationship between .th-to-default and .th-to-default swaps; then, we apply this recursion step-by-step until we arrive at the complete FTD expansion.

Armory

Pricing Path-Dependent Credit Products which matches the correlation skew at each tenor, by construction, and follows an exogenously specified choice of dynamics. Finally, we discuss the details of the numerical implementation and we give some pricing examples in this framework.

Congregate

José Miguel Laínez-Aguirre,Luis Puigjanerlack volatility surface, we parameterize the loss distribution with a Stochastic CEV model. We show that this parametric form gives a very good fit to the market tranche quotes. In addition, we give an application of the correlation skew Black approach to risk management and hedging.

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