Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model

Valuation of Basket Credit Derivatives in the Credit Migrations Environment

The goal of this work is to present a methodology aimed at valuation and hedging of basket credit derivatives, as well as of portfolios of credits/loans, in the context of several possible credit ratings of underlying credit instruments. The methodology is based on a specific Markovian model of a financial market. The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corp...

Valuation and Hedging of Credit Derivatives

Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models

This paper presents a semi-analytical valuation method for basket credit derivatives in a flexible intensity-based model. Default intensities are modeled as correlated affine jump-diffusions. An empirical application documents that the model fits market prices of benchmark basket credit derivatives reasonably well, consistent with the observed correlation skew. Hence, I argue, contrary to comme...

Multiscale Intensity Models and Name Grouping for Valuation of Multi-name Credit Derivatives

The pricing of collateralized debt obligations and other basket credit derivatives is contingent upon (i) a realistic modeling of the firms’ default times and the correlation between them, and (ii) efficient computational methods for computing the portfolio loss distribution from the individual firms’ default time distributions. Factor models, a widelyused class of pricing models, are computati...

the effect of task cognitive complexity and time limit on the performance of the learners with different proficiency levels in second language writing skill

this study investigated the effects of manipulating the cognitive complexity of tasks along +/- few elements and the time limits on l2 learners writing performance. to conduct the study, 60 iranian efl learners with two levels of proficiency, low and high intermediate, were selected and assigned to three groups based on the time devoted to task completion. the participants performed both a simp...