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Combining Market and Credit Risk

  • Giovanni CesariEmail author
  • John Aquilina
  • Niels Charpillon
  • Zlatko Filipović
  • Gordon Lee
  • Ion Manda
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

The valuation approach detailed in Chap. 4 is centered on estimating the distribution of future values of a transaction after having simulated trajectories of the underlying stochastic drivers. When markets are complete, the pricing-by-arbitrage paradigm allows us to price stochastic payoffs as an expectation in a particular measure, namely the one under which the prices of assets are martingales when expressed in units of a chosen numeraire.

Keywords

Credit Risk Call Option Martingale Measure Default Probability Coherent Risk Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Giovanni Cesari
    • 1
    Email author
  • John Aquilina
    • 1
  • Niels Charpillon
    • 1
  • Zlatko Filipović
    • 1
  • Gordon Lee
    • 1
  • Ion Manda
    • 1
  1. 1.UBS AGLondonUK

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