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Pricing sovereign contingent convertible debt
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)
We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...
Bankruptcy prediction and structural credit risk models
(Cambridge University Press, 2008)
Introduction Default is triggered by a firm’s failure to meet its financial obligations. Default probabilities and changes in expected default frequencies affect markets participants, such as investors and lenders, since ...
Searching for the value of quality in financial services
(Philadelphia, Pa.], 2000)
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)
We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)
We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...