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Credit Derivatives and their Applicability to the Turkish Banking Sector
collateralised debt obligation credit default swap Credit derivatives credit linked note credit spread option
2011/9/2
Credit derivatives are financial contracts that offer protection against credit risk of bonds or loans. The most common forms of credit derivatives are credit default swaps, total return swaps, credit...
Dual Quantization for random walks with application to credit derivatives
Quantization Backward Dynamic programming Random Walks
2010/11/2
We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based o...