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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Vulnerable Exotic Derivatives 
Abstract:
In this paper multidimensional structured products with a collateral triggered by a default of the issuing company are studied. In the last decade, the volume of trades in structured products has increased tremendously. Particularly after the subprime and financial crisis with the default by Lehman Brothers, the issue of default risk gained relevance worldwide. Since the early work of Black and Cox [1976], the default risk of a corporation is known to be a barrier-type product. Here, we present...    »
 
Keywords:
multiple barriers, default risk, structured products, collateral, vulnerable options 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Derivatives 
Journal listet in FT50 ranking:
nein 
Year:
2017 
Journal volume:
24 
Journal issue:
Pages contribution:
84-102 
Reviewed:
ja 
Language:
en 
Publisher:
Springer 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
versions