Multiple risky securities valuation I
In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of portfolio assets. Our approach close but it does not coincide with the reduced form interpretation of the credit risk. Based on stochastic interpretation of the default it follows that the market price of a bond is a stochastic process. Therefore, a spot price of a corporate bond implies risk and the bond value shows how market weights the risk. We will show in details how default correlation within securities will affect the basket exposure.
|Date of creation:||2008|
|Date of revision:||2011|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Gikhman, Ilya, 2008.
7079, University Library of Munich, Germany.
- Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 7078, University Library of Munich, Germany, revised 31 Mar 2008.
- Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 6933, University Library of Munich, Germany.
- Ilya, Gikhman, 2007. "Corporate debt pricing I," MPRA Paper 1450, University Library of Munich, Germany. Full references (including those not matched with items on IDEAS)
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