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Valuation of Complex Financial Instruments for Credit Risk Transfer

In: Operations Research Proceedings 2010

Author

Listed:
  • Alfred Hamerle

    (University of Regensburg)

  • Andreas Igl

    (University of Regensburg)

Abstract

The fair valuation of complex financial products for credit risk transfer (CRT) can provide a good basis for sustained growth of these markets and their recovery after the current financial crisis. Therefore, the risks of these structured credit securities (such as Collateralized Debt Obligations (CDO) and Credit Default Swap-Index tranches) have to be known as well as the investor’s current risk aversion.

Suggested Citation

  • Alfred Hamerle & Andreas Igl, 2011. "Valuation of Complex Financial Instruments for Credit Risk Transfer," Operations Research Proceedings, in: Bo Hu & Karl Morasch & Stefan Pickl & Markus Siegle (ed.), Operations Research Proceedings 2010, pages 117-122, Springer.
    • Handle: RePEc:spr:oprchp:978-3-642-20009-0_19
    DOI: 10.1007/978-3-642-20009-0_19
    as

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