کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091601 1375693 2006 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An approximation method for analysis and valuation of credit correlation derivatives
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
An approximation method for analysis and valuation of credit correlation derivatives
چکیده انگلیسی
This paper presents a model for approximating the value of a basket of default-correlated assets and analyzes subordinate tranches in securitized debt obligations. The model is calibrated to an intensity-based simulation of correlated defaults and represents an alternative computation method to full Monte Carlo simulation. Timing of individual obligor defaults are driven by intensity processes and collateral value is modeled with a jump-diffusion process where the number of jumps corresponds to the total number of defaults in the asset pool. This approach allows decomposition of subordinate obligations in terms of a collection of simpler securities and yields useful risk management information.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 2, February 2006, Pages 341-364
نویسندگان
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