Utility valuation of multi-name credit derivatives and application to CDOs

DOI10.1080/14697680902744737zbMath1198.91214OpenAlexW1997357908MaRDI QIDQ5190134

Ronnie Sircar, Thaleia Zariphopoulou

Publication date: 12 March 2010

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

Full work available at URL: https://doi.org/10.1080/14697680902744737

zbMATH Keywords

credit riskdefault riskcontrol of stochastic systemsutility indifferencecontinuous time financepricing with utility based preferencesapplied mathematical financepricing of derivatives securities

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (15)

From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Impact of risk aversion and belief heterogeneity on trading of defaultable claims ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Utility indifference valuation of corporate bond with rating migration risk ⋮ Indifference pricing of credit default swaps in a multi-period model ⋮ Accounting for risk aversion in derivatives purchase timing ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Default clustering in large portfolios: typical events ⋮ Optimal investment with counterparty risk: a default-density model approach ⋮ INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT ⋮ LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT ⋮ ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS ⋮ A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ Risk-Sensitive Asset Management and Cascading Defaults ⋮ Bond indifference prices

Cites Work

• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
• Multiname and Multiscale Default Modeling
• European Option Pricing with Transaction Costs
• EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Utility maximization in incomplete markets with random endowment

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