iPhoneAlle anzeigen
iPhone 11iPhone 11 ProiPhone 11 Pro MaxiPhone 12iPhone 12 ProiPhone 12 Pro MaxiPhone 12 miniiPhone 13iPhone 13 ProiPhone 13 Pro MaxiPhone 13 miniiPhone 14iPhone 14 PlusiPhone 14 ProiPhone 14 Pro MaxiPhone 15iPhone 15 PlusiPhone 15 ProiPhone 15 Pro MaxiPhone 16iPhone 16 PlusiPhone 16 ProiPhone 16 Pro MaxiPhone 16eiPhone 5iPhone 5CiPhone 5SiPhone 6iPhone 6 PlusiPhone 6SiPhone 6S PlusiPhone 7iPhone 7 PlusiPhone 8iPhone 8 PlusiPhone SEiPhone SE 2020iPhone SE 2022iPhone XiPhone XRiPhone XSiPhone XS Max
NokiaAlle anzeigen
108 Reihe220 Reihe225 Reihe2600 classic Reihe2680 slide Reihe2710 Reihe3120 classic Reihe3220 Reihe500 Reihe515 Reihe5230 Reihe603 Reihe6131 Reihe6200 Reihe6300 Reihe6500 Reihe6700 Reihe700 Reihe7200 Reihe8310 ReiheAshaC1C2C3C5C6C7E51E52E6E63E65E7E71E72N73N8N9N95N97Nokia 3Nokia 4.2Nokia 5Nokia 6Nokia 7Nokia 8SiroccoWeitere ModelleXX2X3X6XLXpressMusic
Galaxy A-SerieAlle anzeigen
Galaxy A12Galaxy A13Galaxy A13 5GGalaxy A14Galaxy A15Galaxy A16Galaxy A17Galaxy A17 5GGalaxy A20eGalaxy A21Galaxy A22Galaxy A23Galaxy A24Galaxy A25Galaxy A26 5GGalaxy A27 5GGalaxy A3Galaxy A32Galaxy A33Galaxy A34Galaxy A35Galaxy A36 5GGalaxy A37Galaxy A40Galaxy A41Galaxy A42Galaxy A50Galaxy A51Galaxy A52Galaxy A53Galaxy A54Galaxy A55Galaxy A56 5GGalaxy A57 5GGalaxy A70Galaxy A71Galaxy A72
Redmi SeriesAlle anzeigen
Redmi 10Redmi 13CRedmi 15 5GRedmi Note 10Redmi Note 10 ProRedmi Note 11Redmi Note 11 ProRedmi Note 11 Pro Plus 5GRedmi Note 11sRedmi Note 12Redmi Note 12 5GRedmi Note 12 ProRedmi Note 12 Pro 5GRedmi Note 12 Pro PlusRedmi Note 13Redmi Note 13 5GRedmi Note 13 ProRedmi Note 13 Pro PlusRedmi Note 14Redmi Note 14 Pro PlusRedmi Note 15Redmi Note 15 5GRedmi Note 15 ProRedmi Note 15 Pro 5GRedmi Note 15 Pro Plus 5GRedmi Note 8Redmi Note 8 ProRedmi Note 9Redmi Note 9 Pro
- Startseite
Bücher Wissen & Bildung Englische Bücher Sozialwissenschaft, Recht, Wirtschaft Wirtschaft Betriebswirtschaft Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives
Derzeit nicht verfügbar
Handgeprüfte Gebrauchtware
Bis zu 50 % günstiger als neu
Der Umwelt zuliebe
Modeling of Contagion Effects and their Influence to the Pricing and Hedging of Basket Credit Derivatives
Qian Wang (Broschiert, Englisch)
Optischer Zustand
Beschreibung
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 & Yu‘s (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 Metric’s 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. Dieses Produkt haben wir gerade leider nicht auf Lager.
Handgeprüfte Gebrauchtware
Bis zu 50 % günstiger als neu
Der Umwelt zuliebe
Technische Daten
Erscheinungsdatum
01.03.2006
Sprache
Englisch
EAN
9783899364484
Herausgeber
Josef Eul Verlag
Serien- oder Bandtitel
Finanzierung, Kapitalmarkt und Banken
Sonderedition
Nein
Autor
Qian Wang
Seitenanzahl
118
Auflage
1
Einbandart
Broschiert
-.-
★★★★★
☆☆☆☆☆ Leider noch keine Bewertungen
Leider noch keine Bewertungen
Sicher bei rebuy kaufen
Schreib die erste Bewertung für dieses Produkt!
Wenn du eine Bewertung für dieses Produkt schreibst, hilfst du allen Kund:innen, die noch überlegen, ob sie das Produkt kaufen wollen. Vielen Dank, dass du mitmachst!
Sicher bei rebuy kaufen