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Wrong-way risk in credit and funding valuation adjustments
Wrong-way risk credit and funding valuation adjustments
2012/9/14
Wrong-way risk in counterparty and funding exposures is most dramatic in the situations of systemic crises and tails events. A consistent model of wrong- way risk (WWR) is developed here with the ...
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
Binomial Tree Model Bond Pricing Credit Risk
2012/9/14
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework kno...
Pricing credit default swaps with bilateral value adjustments
Pricing credit default swaps bilateral value adjustments
2012/9/14
A three-dimensional extension of the structural default model with rms' values driven by correlated di usion processes is presented. Green's function based semi-analytical methods for solving the for...
A structural approach to pricing credit default swaps with credit and debt value adjustments
structural approach credit default credit and debt value adjustments
2012/9/14
A multi-dimensional extension of the structural default model with rms' values driven by di usion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods fo...
On Pricing Basket Credit Default Swaps
Basket Credit Default Swaps Interacting Intensity Ordered Default Time Distribution Analytic Pricing Formula
2012/4/28
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensi...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...
An Assessment of the Credit Crisis Solutions
Credit, financial crises banks other depository institutions
2010/9/8
The paper reviews and assesses the various models that have been suggested for resolving the current credit crisis. It is argued that policymakers are inclined to adopt the ‘business-as-usual’ model m...