Monocle
发表于 2025-3-26 21:13:39
Third Generation Models: From Static to Dynamic ModelsIn this chapter, we review some of the most important dynamic credit models in the literature. We give a brief description of each model and discuss the advantages and limitations of each modelling framework. We also comment on the usefulness of each model for a given family of correlation products.
ALE
发表于 2025-3-27 04:01:24
Shubham Chaudhry,Azzeddine Soulaimani we talk about portfolio credit derivative valuations, the first thing that we need to do is to generate a set of loss (or default) distributions, at different time horizons, from the single-name curves and some “correlation” assumptions.
TAG
发表于 2025-3-27 06:41:15
José Miguel Laínez-Aguirre,Luis Puigjaner. By specifying the distribution of the loss variable at each time horizon, one would be able to value tranches. The standard way of defining this distribution is the base correlation approach. Here, we use a Black-Scholes analogy and we define an implied volatility for each tranche. Then, given a B
Complement
发表于 2025-3-27 09:33:10
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blithe
发表于 2025-3-27 16:50:10
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propose
发表于 2025-3-27 20:52:50
https://doi.org/10.1007/978-3-030-01768-2 The most time-consuming step in the evaluation is the generation of the sub-FTDs, for all possible combinations. If we had a homogeneous basket, then, for a given subset size ., all the FTD instruments would have exactly the same value; and the pricing equation would simplify substantially. In part
Free-Radical
发表于 2025-3-28 00:30:40
Fabian Hinder,Valerie Vaquet,Barbara Hammerution, and can be used pari-pasu for the purposes of basket default swap valuation. By using this homogeneous portfolio, the numerical burden that comes with the pricing of large baskets is eased, and the valuation algorithm is significantly speeded up.
Longitude
发表于 2025-3-28 04:32:34
Self-supervised Siamese Autoencodersoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.
Coterminous
发表于 2025-3-28 09:51:43
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PRE
发表于 2025-3-28 11:53:37
https://doi.org/10.1007/978-3-319-60973-7Quantitative Finance; Credit; Theory; Practice; Financial Services