Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

Authors: Hager, Svenja

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About this book

With the recent development of non-standard credit derivatives, it has become increasingly important to develop pricing models for these illiquid products which are consistent with the pricing models and the market quotes of related liquid instruments.

Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures. The intention is to find a correlation matrix sufficiently flexible so that all tranche spreads of a CDO structure can be reproduced simultaneously. This allows for consistent pricing. The calibrated model can then be used to determine the price of non-standard contracts. As there is no standard optimization technique to derive the correlation structure from market prices, Evolutionary Algorithms are applied.

About the authors

Dr. Svenja Hager promovierte bei Prof. Dr.-Ing. Rainer Schöbel am Lehrstuhl für Betriebswirtschaftslehre, insbesondere Betriebliche Finanzwirtschaft, der Universität Tübingen. Sie ist als Kredit- und Marktrisiko-Expertin tätig.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $64.99
price for USA (gross)
  • ISBN 978-3-8349-9702-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $84.99
price for USA
  • ISBN 978-3-8349-0915-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Authors
Copyright
2008
Publisher
Gabler Verlag
Copyright Holder
Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden
eBook ISBN
978-3-8349-9702-9
DOI
10.1007/978-3-8349-9702-9
Softcover ISBN
978-3-8349-0915-2
Edition Number
1
Number of Pages
XXVII, 160
Topics