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Model GARCH : wykorzystanie dodatkowych informacji o cenach minimalnych i maksymalnych

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Low and high prices can improve volatility forecasts during periods of turmoil

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Chapter 20. Credit Derivatives

Hull, John; White, Alan - 2013

This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

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Securitisation and tranching longevity and house price risk for reverse mortgage products

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Pricing credit derivatives in a Markov-modulated reduced-form model

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Valuation of collateralized debt obligations with hierarchical Archimedean copulae

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Sekurytyzacyjne instrumenty finansowe w strefie euro

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Risk amplification effect of asset securitization among financial institutions : evidence from CDO products in the USA

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Mixed copula model with stochastic correlation for CDO pricing

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