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Multiple risky securities valuation I

  • Ilya, Gikhman
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    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.

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    File URL: http://mpra.ub.uni-muenchen.de/34511/1/MPRA_paper_34511.pdf
    File Function: original version
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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34511.

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    Date of creation: 2008
    Date of revision: 2011
    Handle: RePEc:pra:mprapa:34511
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    1. Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 7079, University Library of Munich, Germany.
    2. Ilya, Gikhman, 2007. "Corporate debt pricing I," MPRA Paper 1450, University Library of Munich, Germany.
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