ERN: Econometric Studies of Derivatives Markets (Topic)最新文献_第2页

An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting 场外利率衍生品交易分析:对公开报告的启示

ERN: Econometric Studies of Derivatives Markets (Topic) Pub Date : 2012-03-01 DOI: 10.2139/ssrn.2030461

M. Fleming, J. Jackson, Ada Li, Asani Sarkar, Patricia Zobel

引用次数: 37

Valuation of Credit Default Swaps with Wrong Way Risk – Model Implementation and a Computational Tune-Up 错误风险模式下信用违约互换的估值——模型实现与计算调整

ERN: Econometric Studies of Derivatives Markets (Topic) Pub Date : 2012-02-14 DOI: 10.2139/ssrn.2000782

Dmitri Grominski, Daniel Schwake, T. Sudmann

{"title":"Valuation of Credit Default Swaps with Wrong Way Risk – Model Implementation and a Computational Tune-Up","authors":"Dmitri Grominski, Daniel Schwake, T. Sudmann","doi":"10.2139/ssrn.2000782","DOIUrl":"https://doi.org/10.2139/ssrn.2000782","url":null,"abstract":"In their work, Brigo and Capponi (2010) introduce a numerical approach for calculating credit valuation adjustments (CVA) for credit default swaps (CDS). In contrast to previous research, they consider the default of the party doing the calculation, and its correlation to the defaults of the counterparty and the reference entity. Assuming bilateral counterparty credit risk, this approach generates symmetric and arbitrage free CVA. The most elaborate part of this computation is the generation of the default probability structure of the reference entity conditional on the default of either the investor or the counterparty. Brigo and Capponi (2010) suggest the use of the Fractional Fourier Transformation (FRFT) technique for this purpose. In this paper, we introduce the precise and practical algorithm for this numerical approach and display the steps needed for the FRFT technique. In addition, we offer a computational tune-up for the calculation of the conditional value of the CDS through a lognormal approximation. Throughout a variety of examples we show that this robust approximation delivers satisfying results, while requiring less computational power and less excessive implementation than the FRFT approach.","PeriodicalId":280702,"journal":{"name":"ERN: Econometric Studies of Derivatives Markets (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128093481","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Understanding Foreign Exchange Option Returns: The Information Content of Volatility 理解外汇期权收益:波动率的信息内容

ERN: Econometric Studies of Derivatives Markets (Topic) Pub Date : 2012-01-30 DOI: 10.2139/ssrn.2009289

L. Kermiche, Philippe Dupuy

引用次数: 0

Credit Derivative Pricing with Stochastic Volatility Models 随机波动模型下的信用衍生品定价

ERN: Econometric Studies of Derivatives Markets (Topic) Pub Date : 2011-07-01 DOI: 10.2139/ssrn.2165638

C. Chiarella, Samuel C. Maina, Christina Sklibosios Nikitopoulos

引用次数: 2

Comparing Return-Risk and Direct Utility Maximization Portfolio Optimization Methods by ‘Certainty Equivalence Curves’ 用确定性等价曲线比较收益-风险和直接效用最大化组合优化方法

ERN: Econometric Studies of Derivatives Markets (Topic) Pub Date : 2009-06-05 DOI: 10.2139/ssrn.1354383

H. Vu

{"title":"Comparing Return-Risk and Direct Utility Maximization Portfolio Optimization Methods by ‘Certainty Equivalence Curves’","authors":"H. Vu","doi":"10.2139/ssrn.1354383","DOIUrl":"https://doi.org/10.2139/ssrn.1354383","url":null,"abstract":"Mean-Risk portfolio optimization method proposes an efficient frontier that consists of portfolios not dominated by any portfolio. Consequently, this method reduces the choice set by excluding inefficient portfolios. Different risk measures offer different efficient frontiers, which can be interpreted as different optimal choice sets. The question is whether these different risk measures lead to significantly different efficient frontiers for the investors, and which risk measure should be used. My purpose is to present a method to assess the effect of the choice set reduction from different Return-Risk models and to answer the question presented earlier. The most important contribution of the paper is the creation of a two-dimensional space “Risk-Aversion – Certainty Equivalence (CE)” as a platform for comparisons. The curves, representing different risk-averse investors and different models, on this space are called “Certainty Equivalence Curves (CEC)”. The empirical analysis shows that the Mean-Variance method is very effective in ranking portfolios for exponential utility investors. Therefore, it is not recommended to use more complicated methods such as Mean-CVaR.","PeriodicalId":280702,"journal":{"name":"ERN: Econometric Studies of Derivatives Markets (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132031915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0