Altman, Onorato (2005) (an Integrated Pricing Model for Defaultable Loans and Bonds)
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Pricing Defaultable Catastrophe Bonds with Compound Doubly ... · Approval Name: Yen-Chen (Jenny) Chen Degree: Master of Science (Actuarial Science) Title: Pricing Defaultable Catastrophe
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Credit Risk V. · Two default-free assets, one defaultable asset Our aim is to hedge defaultable claims. As we shall establish, the case of total default for the third asset (i.e.
Hedging of defaultable claims in a structural model using a ...minimization approach is used to manage the risk associated with the defaultable claims. Local risk-minimization hedging
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Pricing and Hedging Defaultable Participating Contracts ...
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Portfolio Optimization with a Defaultable Security
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Quadratic Hedging Methods for Defaultable Claims · priced by using the risk-neutral valuation formula as the market would be complete. However the market model extended with the
Pricing, Trading and Clearing of Defaultable Claims ... Claims Subject to Counterparty Risk ... Trading and Clearing of Defaultable Claims Subject to ... iii. List of Figures 1.1 ...
