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Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Galkiewicz, Dominika Paula
credit derivatives / credit riskResource overview

Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation

Paper2014

by Galkiewicz, Dominika Paula

Tags
credit derivativescredit riskderivativesmutual funds

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Suggested foundations for options and derivatives pricing and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  3. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance Explore Counterparty Credit Risk and CVA

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