搜索结果: 1-3 共查到“理论经济学 Consistent Valuation”相关记录3条 . 查询时间(0.098 秒)
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
Consistent Valuation of Bespoke CDO Tranches
Bespoke CDO Tranches arbitrage-free pricing methodology multi-factor
2010/4/28
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...