Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives (Finanzierung, Kapitalmarkt und Banken)
5 Angebote vergleichen

Bester Preis: Fr. 18.64 ( 19.00)¹ (vom 17.07.2013)
1
9783899364484 - Wang: | Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives | Josef Eul | 2006
Wang

| Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives | Josef Eul | 2006

Lieferung erfolgt aus/von: Deutschland DE NW

ISBN: 9783899364484 bzw. 3899364481, in Deutsch, Josef Eul, neu.

Fr. 37.28 ( 38.00)¹
versandkostenfrei, unverbindlich
The financial health of a firm varies with randomly fluctuating macroeconomic factors such as changes in economic growth. This type of dependence between defaults can be and has been modelled in the standard reduced-form credit risk model with conditionally independent defaults. Credit contagion refers to the propagation of financial distress from one firm or sovereign government to another. Through credit contagion effects the classical assumption that the probabilities of default may only depend on the common factors is rejected. Under different criteria the existing contagion models can be sorted into the following types: We pick here Jarrow & Yus (2001) counterparty risk model and Schönbuchers (2003) frailty model, which can be regarded as the representatives of the respective types. We also try to construct two own models: correlated firm value model based on the Credit Metrics model, and correlated firm value with jump model. In the correlated firm value model, the asset values of the firms depend not only on the common factors, but also on the firm specific factors of his own and of the tied firms. The tied firms here should be defined as business partners in the economic networks. In this way the asset values of all the firms depend on the same factors, so we call it factor model. Another innovation of this paper is the building of the correlated firm value with jump model. It tries to build the influence factors between asset value processes of tied firms into a jump process. We then investigate the pricing effects caused by the conceptual differences of the four contagion models above, especially second-to-default basket credit derivative prices and CDO prices. For the CDO pricing, different contagion models will show different pricing trends. At the end, the author tries to suggest some of the hedging strategies under contagion.
2
9783899364484 - Qian Wang: Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives (Finanzierung, Kapitalmarkt und Banken)
Qian Wang

Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives (Finanzierung, Kapitalmarkt und Banken) (2006)

Lieferung erfolgt aus/von: Deutschland EN PB NW FE

ISBN: 9783899364484 bzw. 3899364481, in Englisch, 118 Seiten, Josef Eul Verlag, Taschenbuch, neu, Erstausgabe.

Fr. 37.28 ( 38.00)¹
versandkostenfrei, unverbindlich
Lieferung aus: Deutschland, Gewöhnlich versandfertig in 24 Stunden, Versandkostenfrei. Tatsächliche Versandkosten können abweichen.
Von Händler/Antiquariat, josef-eul-verlag.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
3
9783899364484 - Qian Wang: Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives
Qian Wang

Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives (2006)

Lieferung erfolgt aus/von: Deutschland EN PB NW FE

ISBN: 9783899364484 bzw. 3899364481, in Englisch, 118 Seiten, Eul, Taschenbuch, neu, Erstausgabe.

Fr. 37.28 ( 38.00)¹
unverbindlich
Lieferung aus: Deutschland, Versandfertig in 1 - 2 Werktagen.
Von Händler/Antiquariat, josef-eul-verlag.
Broschiert, Ausgabe: 1., Aufl. Label: Eul, Eul, Produktgruppe: Book, Publiziert: 2006-03, Studio: Eul.
4
9783899364484 - Qian Wang: Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives
Symbolbild
Qian Wang

Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives (2006)

Lieferung erfolgt aus/von: Vereinigte Staaten von Amerika DE PB US

ISBN: 9783899364484 bzw. 3899364481, in Deutsch, Eul, Taschenbuch, gebraucht.

Fr. 54.63 ($ 73.24)¹ + Versand: Fr. 2.97 ($ 3.99)¹ = Fr. 57.60 ($ 77.23)¹
unverbindlich
Lieferung aus: Vereinigte Staaten von Amerika, Usually ships in 1-2 business days.
Von Händler/Antiquariat, Berlin Express.
Paperback, Label: Eul, Eul, Produktgruppe: Book, Publiziert: 2006, Studio: Eul.
5
9783899364484 - Wang, Qian: Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives
Wang, Qian

Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives

Lieferung erfolgt aus/von: Deutschland DE PB NW

ISBN: 9783899364484 bzw. 3899364481, in Deutsch, Eul, J, Taschenbuch, neu.

Fr. 37.28 ( 38.00)¹ + Versand: Fr. 2.94 ( 3.00)¹ = Fr. 40.23 ( 41.00)¹
unverbindlich
Lieferung aus: Deutschland, Versandkosten nach: Deutschland.
Von Händler/Antiquariat, InternetBuchhandlung A. Bell, [3194875].
Taschenbuch, Neuware, Internationaler Versand, PayPal, Banküberweisung.
Lade…