Credit Risk Modelling and Credit Derivatives
Credit Risk The creditrisk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of thecredit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into […]
fi lecture16 exotic options credit derivatives
fi lecture16 exotic options credit derivatives Interest-rate exotic options usually are – Path-dependent – Correlation-dependent – Time-dependent – Or a mix of these features • Path-dependent options: option payoffs are a function of the path that interest rates follow over the option life • Correlation-dependent options: option payoffs are based on the relationship between several […]