Credit

Antonio Mele and Yoshiki Obayashi
Additional contact information
Antonio Mele: University of Lugano
Yoshiki Obayashi: Applied Academics LLC

Chapter Chapter 5 in The Price of Fixed Income Market Volatility, 2015, pp 211-245 from Springer

Abstract: Abstract This chapter builds on the general framework of Chap. 2 , and develops indexes of expected volatility in the credit market. An inherent risk in this market that is absent from all others studied in this book is default risk, and this chapter describes how to account for it when pricing credit variance while also handling the exotic nature of options on credit default swap indexes. For example, options to enter into an on-the-run credit default swap index are typically struck at spreads differing from the initial contractual coupons, which calls for strike adjustments that lead to non-standard payoffs. This chapter proposes modifications to the volatility index calculations based on vanilla payoffs that adjust for the non-standard nature of options traded in practice.

Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-319-26523-0_5

Ordering information: This item can be ordered from
http://www.springer.com/9783319265230

DOI: 10.1007/978-3-319-26523-0_5

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().