Analysis of Systematic Risks in Multi-Name Credit and Equity Markets
نویسندگان
چکیده
منابع مشابه
Analysis of Systematic Risks in Multi-Name Credit and Equity Markets
In this paper, we present an intensity-based common factor model that is used to analyze the valuation of common systematic risks in multi-name credit and equity markets. In particular, we use a hybrid intensity model to price single-name credit instruments such as credit default swaps (CDSs), multi-name credit derivatives such as collateralized debt obligations (CDOs), and equity index options...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2314190