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Titel:

Vulnerable Exotic Derivatives

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
multiple barriers, default risk, structured products, collateral, vulnerable options
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Derivatives
Journal gelistet in FT50 Ranking:
nein
Jahr:
2017
Band / Volume:
24
Heft / Issue:
3
Seitenangaben Beitrag:
84-102
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.3905/jod.2017.24.3.084
Verlag / Institution:
Springer
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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