We consider now some structured products, which show interesting credit exposure characteristics. As we will see these examples are not necessarily complex to model. They are, however, interesting to examine, as they are commonly used in the industry, and they have features which may only appear in the context of credit exposure. In general, the complexity of these transactions is in the structure itself, and the challenge lies in understanding what to model, rather than how to model. We will give here only a brief overview of the products and of their structures, without entering into details.
KeywordsCall Option American Option European Option European Call Option Convertible Bond
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