Startseite UR

Correlation Smile, Volatility Skew and Systematic Risk Sensitivity of Tranches.

Hamerle, Alfred ; Igl, Andreas ; Plank, Kilian


Zusammenfassung

The classical way of treating the correlation smile phenomenon with credit index tranches is to choose a sufficiently flexible model and fit it to tranche market prices. In this article we go a step further and try to explain the tranche prices more fundamentally without directly fitting them. To this end, we use a risk neutral measure of the market factor which we derive from equity index ...

plus


Nur für Besitzer und Autoren: Kontrollseite des Eintrags
  1. Universität

Universitätsbibliothek

Publikationsserver

Kontakt:

Publizieren: oa@ur.de
0941 943 -4239 oder -69394

Dissertationen: dissertationen@ur.de
0941 943 -3904

Forschungsdaten: datahub@ur.de
0941 943 -5707

Ansprechpartner