Mark-to-model for cash CDOs through indifference pricing

DOI10.1080/14697688.2011.620977MaRDI QIDQ2893072zbMATH OpenOpenAlexFDO

Authors Guillaume Bernis

Publication date 25 June 2012

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2011.620977

zbMATH Keywords

credit derivativesLévy processutility indifferencevaluations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Pricing collateralized debt obligations with Markov-modulated Poisson processes
• Valuation and hedging of CDS counterparty exposure in a Markov copula model
• Default intensities implied by CDO spreads: inversion formula and model calibration
• CDO term structure modelling with Lévy processes and the relation to market models
• From insurance risk to credit portfolio management: a new approach to pricing CDOs

Cites work

• Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
• The Variance Gamma Process and Option Pricing

Cited in

(3)

• Sensitivity analysis for marked Hawkes processes: application to CLO pricing
• Market Models of Forward CDS Spreads
• From insurance risk to credit portfolio management: a new approach to pricing CDOs

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