Valuation of Complex Financial Instruments for Credit Risk Transfer

Alfred Hamerle () and Andreas Igl ()
Additional contact information
Alfred Hamerle: University of Regensburg
Andreas Igl: University of Regensburg

A chapter in Operations Research Proceedings 2010, 2011, pp 117-122 from Springer

Abstract: Abstract The fair valuation of complex financial products for credit risk transfer (CRT) can provide a good basis for sustained growth of these markets and their recovery after the current financial crisis. Therefore, the risks of these structured credit securities (such as Collateralized Debt Obligations (CDO) and Credit Default Swap-Index tranches) have to be known as well as the investor’s current risk aversion.

Keywords: Systematic Risk; Sharpe Ratio; Capital Asset Price Model; Corporate Bond; Model Spread (search for similar items in EconPapers)
Date: 2011
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:oprchp:978-3-642-20009-0_19

Ordering information: This item can be ordered from
http://www.springer.com/9783642200090

DOI: 10.1007/978-3-642-20009-0_19

Access Statistics for this chapter

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