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Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
Scott Robertson / Zhe Fei
credit derivatives / credit riskResource overview

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default

Paper2025

by Scott Robertson, Zhe Fei

Tags
credit derivativescredit riskderivativesmathematical financepartial differential equations

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Understand this paper

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

Before you read

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

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. The Binomial Model

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

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

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

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

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

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

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