Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis

DOI10.1080/14697688.2012.690885zbMath1279.91172OpenAlexW1968342982MaRDI QIDQ2873543

Rama Cont, Cathrine Jessen

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://research-api.cbs.dk/ws/files/58846897/constant_proportion_cathrine_jessen.pdf

zbMATH Keywords

credit riskcredit derivativesaffine term structure models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Theoretical solution versus industry standard: Optimal leverage function for CPDOs ⋮ Model risk of contingent claims ⋮ Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return ⋮ CPDO WITH FINITE TERMINATION: MAXIMAL RETURN UNDER CASH-IN AND CASH-OUT CONDITIONS

Cites Work

• Affine Point Processes and Portfolio Credit Risk
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Changes of numéraire, changes of probability measure and option pricing
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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