Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives:
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Lohmar [u.a.]
Eul
2006
|
| Edition: | 1. Aufl. |
| Series: | Reihe: Finanzierung, Kapitalmarkt und Banken
46 |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XII, 117 S. graph. Darst. |
| ISBN: | 3899364481 |
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| 245 | 1 | 0 | |a Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives |c Qian Wang |
| 250 | |a 1. Aufl. | ||
| 264 | 1 | |a Lohmar [u.a.] |b Eul |c 2006 | |
| 300 | |a XII, 117 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Reihe: Finanzierung, Kapitalmarkt und Banken |v 46 | |
| 502 | |a Zugl.: Köln, Univ., Diss., 2005 | ||
| 650 | 4 | |a Collateralized Debt Obligations / default contagion | |
| 650 | 4 | |a Kreditrisiko - Derivat <Wertpapier> - Portfolio Selection - Hedging - Spill-over-Effekt | |
| 650 | 4 | |a Kreditrisiko / Finanzderivat / Kreditsicherung / Hedging / Optionspreistheorie / Zahlungsunfähigkeit / Spillover-Effekt / Theorie | |
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Contents
Introduction 1
1 Intensity based Default Contagion 8
1.1 Overview 8
1.2 Primary Secondary Framework 9
1.3 Default Processes 11
1.4 Case of Two Firms 12
2 Information driven Default Contagion 15
2.1 Overview 15
2.2 Setup 16
2.3 Information Structure 17
2.4 An Example 18
3 Correlated Firm Value Model(KMV) 20
3.1 Overview 20
3.2 The Information Structure 20
3.3 Firm Value Process and Default Process 20
3.4 The Joint Default Distribution 23
4 Correlated Firm Value with Jump 26
4.1 Information structure 26
DC
4.2 Finn Value Processes 28
4.3 The Joint Default Distribution 31
5 Comparison of Contagion Models 33
5.1 Assumptions 34
5.1.1 Correlated Finn Value Model 34
5.1.2 Information driven Default Contagion 35
5.1.3 Intemrity baeed Default Contagion 36
5.1.4 Correlated Firm Value with Jump 37
5.2 Construction of Default Time 38
5.2.1 Correlated Firm Value Model 38
5.2.2 Information driven Default Contagion 39
5.2.3 Intensity based Default Contagion 40
5.2.4 Correlated Firm Value with Jump 42
5.3 Default Contagion 44
5.3.1 Correlated Firm Value Model 44
5.3.2 Information driven Default Contagion 45
5.3.3 Intensity based Default Contagion 46
5.3.4 Correlated Firm Value with Jump 47
6 Pricing of Basket Credit Derivatives 49
6.1 The Survival Approach 49
X
6.1.1 Transformation of Marginal Distribution to Exponential
Distribution 60
6.1.2 Joint Survival Functions 51
6.1.3 Joint Survival Function for Two Obligors 55
6.2 Pricing Basket Credit Derivatives with Two Obligors 56
6.2.1 Pricing Derivative of Second to Default 57
6.2.2 Sensitivity Analysis of Interest Rate 65
6.2.3 Sensitivity Analysfe of Other Parameters: Intensity and
Volatilities 68
6.3 Pricing of CDO 74
6.3.1 Portfolio Losa Distributions 75
6.3.2 Payoff description 76
6.3.3 Pricing the default payment leg of a CDO tranche 78
6.3.4 Pricing the margin leg of a CDO 78
6.3.5 Simulation Algorithm 79
6.3.6 Pricing CDO 80
7 Hedging Strategies for Baaket Credit Derivatives 84
7.1 Delta, Gamma Hedging 85
7.2 Hedging strategy for correlated firm value model and correlated
firm value model with jump 87
7.3 Hedging strategy for intensity based model 96
XI
8 Conclusion 102
Reference 106
Appendix I 114
Appendix n 115
Appendix HI m |
| adam_txt |
Contents
Introduction 1
1 Intensity based Default Contagion 8
1.1 Overview 8
1.2 Primary Secondary Framework 9
1.3 Default Processes 11
1.4 Case of Two Firms 12
2 Information driven Default Contagion 15
2.1 Overview 15
2.2 Setup 16
2.3 Information Structure 17
2.4 An Example 18
3 Correlated Firm Value Model(KMV) 20
3.1 Overview 20
3.2 The Information Structure 20
3.3 Firm Value Process and Default Process 20
3.4 The Joint Default Distribution 23
4 Correlated Firm Value with Jump 26
4.1 Information structure 26
DC
4.2 Finn Value Processes 28
4.3 The Joint Default Distribution 31
5 Comparison of Contagion Models 33
5.1 Assumptions 34
5.1.1 Correlated Finn Value Model 34
5.1.2 Information driven Default Contagion 35
5.1.3 Intemrity baeed Default Contagion 36
5.1.4 Correlated Firm Value with Jump 37
5.2 Construction of Default Time 38
5.2.1 Correlated Firm Value Model 38
5.2.2 Information driven Default Contagion 39
5.2.3 Intensity based Default Contagion 40
5.2.4 Correlated Firm Value with Jump 42
5.3 Default Contagion 44
5.3.1 Correlated Firm Value Model 44
5.3.2 Information driven Default Contagion 45
5.3.3 Intensity based Default Contagion 46
5.3.4 Correlated Firm Value with Jump 47
6 Pricing of Basket Credit Derivatives 49
6.1 The Survival Approach 49
X
6.1.1 Transformation of Marginal Distribution to Exponential
Distribution 60
6.1.2 Joint Survival Functions 51
6.1.3 Joint Survival Function for Two Obligors 55
6.2 Pricing Basket Credit Derivatives with Two Obligors 56
6.2.1 Pricing Derivative of Second to Default 57
6.2.2 Sensitivity Analysis of Interest Rate 65
6.2.3 Sensitivity Analysfe of Other Parameters: Intensity and
Volatilities 68
6.3 Pricing of CDO 74
6.3.1 Portfolio Losa Distributions 75
6.3.2 Payoff description 76
6.3.3 Pricing the default payment leg of a CDO tranche 78
6.3.4 Pricing the margin leg of a CDO 78
6.3.5 Simulation Algorithm 79
6.3.6 Pricing CDO 80
7 Hedging Strategies for Baaket Credit Derivatives 84
7.1 Delta, Gamma Hedging 85
7.2 Hedging strategy for correlated firm value model and correlated
firm value model with jump 87
7.3 Hedging strategy for intensity based model 96
XI
8 Conclusion 102
Reference 106
Appendix I 114
Appendix n 115
Appendix HI m |
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| series | Reihe: Finanzierung, Kapitalmarkt und Banken |
| series2 | Reihe: Finanzierung, Kapitalmarkt und Banken |
| spelling | Wang, Qian Verfasser aut Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives Qian Wang 1. Aufl. Lohmar [u.a.] Eul 2006 XII, 117 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Reihe: Finanzierung, Kapitalmarkt und Banken 46 Zugl.: Köln, Univ., Diss., 2005 Collateralized Debt Obligations / default contagion Kreditrisiko - Derivat <Wertpapier> - Portfolio Selection - Hedging - Spill-over-Effekt Kreditrisiko / Finanzderivat / Kreditsicherung / Hedging / Optionspreistheorie / Zahlungsunfähigkeit / Spillover-Effekt / Theorie Spill-over-Effekt (DE-588)4225795-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s Portfolio Selection (DE-588)4046834-3 s Hedging (DE-588)4123357-8 s Spill-over-Effekt (DE-588)4225795-5 s DE-604 Reihe: Finanzierung, Kapitalmarkt und Banken 46 (DE-604)BV013664459 46 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=2790901&prov=M&dok_var=1&dok_ext=htm Inhaltstext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015514739&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wang, Qian Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives Reihe: Finanzierung, Kapitalmarkt und Banken Collateralized Debt Obligations / default contagion Kreditrisiko - Derivat <Wertpapier> - Portfolio Selection - Hedging - Spill-over-Effekt Kreditrisiko / Finanzderivat / Kreditsicherung / Hedging / Optionspreistheorie / Zahlungsunfähigkeit / Spillover-Effekt / Theorie Spill-over-Effekt (DE-588)4225795-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Kreditderivat (DE-588)7660453-6 gnd Hedging (DE-588)4123357-8 gnd |
| subject_GND | (DE-588)4225795-5 (DE-588)4046834-3 (DE-588)7660453-6 (DE-588)4123357-8 (DE-588)4113937-9 |
| title | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives |
| title_auth | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives |
| title_exact_search | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives |
| title_exact_search_txtP | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives |
| title_full | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives Qian Wang |
| title_fullStr | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives Qian Wang |
| title_full_unstemmed | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives Qian Wang |
| title_short | Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives |
| title_sort | modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives |
| topic | Collateralized Debt Obligations / default contagion Kreditrisiko - Derivat <Wertpapier> - Portfolio Selection - Hedging - Spill-over-Effekt Kreditrisiko / Finanzderivat / Kreditsicherung / Hedging / Optionspreistheorie / Zahlungsunfähigkeit / Spillover-Effekt / Theorie Spill-over-Effekt (DE-588)4225795-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Kreditderivat (DE-588)7660453-6 gnd Hedging (DE-588)4123357-8 gnd |
| topic_facet | Collateralized Debt Obligations / default contagion Kreditrisiko - Derivat <Wertpapier> - Portfolio Selection - Hedging - Spill-over-Effekt Kreditrisiko / Finanzderivat / Kreditsicherung / Hedging / Optionspreistheorie / Zahlungsunfähigkeit / Spillover-Effekt / Theorie Spill-over-Effekt Portfolio Selection Kreditderivat Hedging Hochschulschrift |
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| volume_link | (DE-604)BV013664459 |
| work_keys_str_mv | AT wangqian modelingofcontagioneffectsandtheirinfluencetothepricingandhedgingofbasketcreditderivatives |