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- catalog abstract "This paper models the pricing of derivatives on credit risk. These instruments were proposed in 1992 by the International Swap Dealer's Association, and have started attracting market attention. The exact structure of the instruments is still evolving. We develop a simple framework to understand the key features of this class of products. It is shown that the price of the credit risk option is the expected forward value of a put option on a risky bond with a credit-level adjusted exercise price. Stripping of credit risk from the total risk of the bond is enabled by employing a stochastic strike price for the credit risk option. The paper provides a framework for trading and hedging credit risk.".
- catalog contributor b8643666.
- catalog created "1994.".
- catalog date "1994".
- catalog date "1994.".
- catalog dateCopyrighted "1994.".
- catalog description "Includes bibliographical references (p. 36-37).".
- catalog description "This paper models the pricing of derivatives on credit risk. These instruments were proposed in 1992 by the International Swap Dealer's Association, and have started attracting market attention. The exact structure of the instruments is still evolving. We develop a simple framework to understand the key features of this class of products. It is shown that the price of the credit risk option is the expected forward value of a put option on a risky bond with a credit-level adjusted exercise price. Stripping of credit risk from the total risk of the bond is enabled by employing a stochastic strike price for the credit risk option. The paper provides a framework for trading and hedging credit risk.".
- catalog extent "37 p. :".
- catalog isPartOf "Working paper (Harvard University. Graduate School of Business Administration. Division of Research) ; HBS 95-033.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 95-033".
- catalog issued "1994".
- catalog issued "1994.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Credit risk derivatives / Sanjiv R. Das.".
- catalog type "text".