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Credit Derivatives and their Applicability to the Turkish Banking Sector
collateralised debt obligation credit default swap Credit derivatives credit linked note credit spread option
2011/9/2
Credit derivatives are financial contracts that offer protection against credit risk of bonds or loans. The most common forms of credit derivatives are credit default swaps, total return swaps, credit...
Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
crisis liquidity credit counterparty risk fixed income Libor Euribor Eonia yield curve forward curve, discount curve, single curve, multiple curve volatility surface collateral CSA discounting no arbitrage pricing interest rate derivatives FRAs swaps OIS basis swaps caps floors SABR
2011/3/30
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evide...
Use of Interest Rate Derivatives by U.S. Based Domestic and Global Bond Mutual Funds
Bond Mutual Funds Derivatives Use
2010/10/18
We investigate the use of interest rate derivatives by U.S. based domestic and global bond mutual funds. Using SEC filings and monthly return data, we document the use of derivatives across subcatego...
Dual Quantization for random walks with application to credit derivatives
Quantization Backward Dynamic programming Random Walks
2010/11/2
We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based o...