Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

With the recent development of non-standard credit derivatives, it has become increasingly important to develop pricing models for these illiquid products which are consistent with the pricing models and the market quotes of related liquid instruments. Svenja Hager aims at pricing non-standard illiq...

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Principais autores: Hager, Svenja., SpringerLink (Online service)
Formato: Digital
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Assuntos:
Economia.
Administração.
Pesquisa operacional.
Endereço do item:http://dx.doi.org/10.1007/978-3-8349-9702-9
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spelling oai:localhost:123456789-1301522023-07-17T15:09:26Z Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms Hager, Svenja. SpringerLink (Online service) Economia. Administração. Pesquisa operacional. With the recent development of non-standard credit derivatives, it has become increasingly important to develop pricing models for these illiquid products which are consistent with the pricing models and the market quotes of related liquid instruments. Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures. The intention is to find a correlation matrix sufficiently flexible so that all tranche spreads of a CDO structure can be reproduced simultaneously. This allows for consistent pricing. The calibrated model can then be used to determine the price of non-standard contracts. As there is no standard optimization technique to derive the correlation structure from market prices, Evolutionary Algorithms are applied. 0 2022-10-06T08:00:05Z 2022-10-06T08:00:05Z 2008. Digital 330 H144p 9783834997029 198747 http://dx.doi.org/10.1007/978-3-8349-9702-9 http://dx.doi.org/10.1007/978-3-8349-9702-9
institution Acervo SISBI
collection SIGAA
topic Economia.
Administração.
Pesquisa operacional.
spellingShingle Economia.
Administração.
Pesquisa operacional.
Hager, Svenja.
SpringerLink (Online service)
Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
description With the recent development of non-standard credit derivatives, it has become increasingly important to develop pricing models for these illiquid products which are consistent with the pricing models and the market quotes of related liquid instruments. Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures. The intention is to find a correlation matrix sufficiently flexible so that all tranche spreads of a CDO structure can be reproduced simultaneously. This allows for consistent pricing. The calibrated model can then be used to determine the price of non-standard contracts. As there is no standard optimization technique to derive the correlation structure from market prices, Evolutionary Algorithms are applied.
format Digital
author Hager, Svenja.
SpringerLink (Online service)
author_facet Hager, Svenja.
SpringerLink (Online service)
author_sort Hager, Svenja.
title Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_short Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_full Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_fullStr Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_full_unstemmed Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
title_sort pricing portfolio credit derivatives by means of evolutionary algorithms
publishDate 2022
url http://dx.doi.org/10.1007/978-3-8349-9702-9
work_keys_str_mv AT hagersvenja pricingportfoliocreditderivativesbymeansofevolutionaryalgorithms
AT springerlinkonlineservice pricingportfoliocreditderivativesbymeansofevolutionaryalgorithms
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