Kennedy
发表于 2025-3-21 18:19:29
书目名称Credit Correlation影响因子(影响力)<br> http://impactfactor.cn/if/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation影响因子(影响力)学科排名<br> http://impactfactor.cn/ifr/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation网络公开度<br> http://impactfactor.cn/at/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation网络公开度学科排名<br> http://impactfactor.cn/atr/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation被引频次<br> http://impactfactor.cn/tc/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation被引频次学科排名<br> http://impactfactor.cn/tcr/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation年度引用<br> http://impactfactor.cn/ii/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation年度引用学科排名<br> http://impactfactor.cn/iir/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation读者反馈<br> http://impactfactor.cn/5y/?ISSN=BK0239627<br><br> <br><br>书目名称Credit Correlation读者反馈学科排名<br> http://impactfactor.cn/5yr/?ISSN=BK0239627<br><br> <br><br>
兽群
发表于 2025-3-21 20:42:04
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
发表于 2025-3-22 03:01:24
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
发表于 2025-3-22 05:42:38
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
发表于 2025-3-22 12:42:39
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.
打击
发表于 2025-3-22 15:34:20
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打击
发表于 2025-3-22 21:01:17
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死猫他烧焦
发表于 2025-3-23 01:02:33
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Simulate
发表于 2025-3-23 02:42:00
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有角
发表于 2025-3-23 08:23:22
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