Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

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 i...

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Main Author: Hager, Svenja
Format: Book
Language:English
Published: Springer 2017
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Online Access:http://repository.vnu.edu.vn/handle/VNU_123/25769
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Institution: Vietnam National University, Hanoi
Language: English
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spelling oai:112.137.131.14:VNU_123-257692020-05-13T01:41:26Z Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms Hager, Svenja Business Economics Credit Derivatives 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. 2017-04-10T08:48:45Z 2017-04-10T08:48:45Z 2008 Book 978-3-8349-0915-2 http://repository.vnu.edu.vn/handle/VNU_123/25769 en 176 p. application/pdf Springer
institution Vietnam National University, Hanoi
building VNU Library & Information Center
country Vietnam
collection VNU Digital Repository
language English
topic Business
Economics
Credit Derivatives
spellingShingle Business
Economics
Credit Derivatives
Hager, Svenja
Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
description 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.
format Book
author Hager, Svenja
author_facet Hager, Svenja
author_sort Hager, Svenja
title Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_short Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_full Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_fullStr Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_full_unstemmed Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_sort pricing portfolio credit derivatives by means of evolutionary algorithms
publisher Springer
publishDate 2017
url http://repository.vnu.edu.vn/handle/VNU_123/25769
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