Last option before the armageddon

explosion

Damiano Brigo and Massimo Morini show how the pricing of credit index options depends on the probability of a financial portfolio 'armageddon'. They introduce a new equivlent pricing measure that lays the foundation for a market model framework in multi-name credit risk, leading also to practical implementation advantages. Examples show the formula has become more relevant after the beginning of the credit crisis of 2007.

 

CLICK ON THE LINK BELOW TO READ THE FULL VERSION OF THIS ARTICLE

Last op

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: