Utility valuation of multi-name credit derivatives and application to cdos

Keyphrases

• Credit Derivatives 100%
• Credit Application 100%
• Risk Impact 33%
• Risk Aversion 33%
• Large Portfolio 33%
• Numerical Solution 33%
• Nonlinearity 33%
• Yield Spread 33%
• Default Risk 33%
• Utility Indifference Pricing 33%
• Indifference Valuation 33%
• Data Market 33%
• Default Intensity 33%
• Constant Intensity 33%
• Reaction-diffusion PDEs 33%
• Tranche Spread 33%
• Credit Event 33%
• Valuation Mechanisms 33%
• Intensity Model 33%

Economics, Econometrics and Finance

• Credit Derivative 100%
• Pricing 33%
• Yield Curve 33%
• Nonlinearity 33%