与股票指数行为挂钩的债务证券估值:信用风险模型

Q3 Economics, Econometrics and Finance

Revista de Analisis Economico Pub Date : 2023-07-15 DOI:10.24265/raef.2023.v6n2.68

Marcelo Fabián Perillo

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引用次数: 0

摘要

本文的目的是探讨一种特殊类型的结构化产品的估值，该产品由零息债券组成，其支付函数与另一个变量的行为相关联。在本研究中，这个变量是一个股票指数。贡献是在衍生金融工具估值标准和信用风险存在的情况下，由公式或封闭形成的解的命题形成的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito

The aim of this paper is to approach the valuation of a particular type of structured products, which consist of zero-coupon debt securities, whose payment function is tied to the behavior of another variable. In the present case of study this variable is a stock index. The contribution is formed by the proposition of a formula or closed formed solution, under standards in derivative financial valuation of instruments and the existence of credit risk.

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来源期刊

Revista de Analisis Economico Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.00

自引率

0.00%

发文量