𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Optimal Credit Swap Portfolios

✍ Scribed by Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry


Book ID
126631263
Publisher
INFORMS
Year
2014
Tongue
English
Weight
414 KB
Volume
60
Category
Article
ISSN
0025-1909

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πŸ“œ SIMILAR VOLUMES


The credit risk components of a swap por
✍ Georges HΓΌbner πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 178 KB

## Abstract Thanks to the recent development of analytical pricing models for swaps with bilateral credit risk, a comprehensive analysis of the dimensions of default risk has become possible. Using the model developed by HΓΌbner (2001) for IRS and CS, this article investigates the impact of structur

Portfolio credit-risk optimization
✍ Ian Iscoe; Alexander Kreinin; Helmut Mausser; Oleksandr Romanko πŸ“‚ Article πŸ“… 2012 πŸ› Elsevier Science 🌐 English βš– 653 KB
Explaining credit default swap premia
✍ Christoph Benkert πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 169 KB

## Abstract This article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and option‐implied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler (in press) in the contex