Valuation of forward-starting CDOs
K Jackson, W Zhang - International Journal of Computer …, 2009 - Taylor & Francis
A forward-starting collateralized debt obligation (FCDO) is a single tranche CDO with a
specified premium starting at a specified future time. Pricing and hedging FCDOs have …
specified premium starting at a specified future time. Pricing and hedging FCDOs have …
Fast valuation of forward-starting basket default swaps
K Jackson, A Kreinin, W Zhang - International Journal of Theoretical …, 2010 - World Scientific
A basket default swap (BDS) is a credit derivative with contingent payments that are
triggered by a combination of default events of the reference entities. A forward-starting …
triggered by a combination of default events of the reference entities. A forward-starting …
[BOOK][B] On computational methods for the valuation of credit derivatives
W Zhang - 2010 - sys.toronto.edu
A credit derivative is a financial instrument whose value depends on the credit risk of an
underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any …
underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any …