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Title:

Vulnerable Exotic Derivatives

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
3
Pages contribution:
84-102
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.3905/jod.2017.24.3.084
Publisher:
Springer
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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