Structures

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
Additional contact information
Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 11 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 175-180 from Springer

Abstract: Abstract We consider now some structured products, which show interesting credit exposure characteristics. As we will see these examples are not necessarily complex to model. They are, however, interesting to examine, as they are commonly used in the industry, and they have features which may only appear in the context of credit exposure. In general, the complexity of these transactions is in the structure itself, and the challenge lies in understanding what to model, rather than how to model. We will give here only a brief overview of the products and of their structures, without entering into details.

Keywords: Call Option; American Option; European Option; European Call Option; Convertible Bond (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_11

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DOI: 10.1007/978-3-642-04454-0_11

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