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Presentation . 2022
License: CC BY
Data sources: Datacite
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
ZENODO
Presentation . 2022
License: CC BY
Data sources: Datacite
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Basket Default Swap and CDO Valuation

descriptionPublicationkeyboard_double_arrow_right Presentation 01 Dec 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7387515 , 10.5281/zenodo.7387516

Basket Default Swap and CDO Valuation

Abstract

A pricing model is presented to calculate Mark-to-Market (MTM) and all sensitivities for basket default swaps and Collateral Debt Obligations (CDOs) (FirstNofM, GiantFirstLoss, GiantFirstLossPayEnd, Caribou, and Reindeer). It is composed of the credit library, BulkCurveGenerator, five outstanding pricing templates, and Scenario Manager.

https://ia904704.us.archive.org/3/items/cmsSpreadOption/cmsSpreadOption.pdf

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Basket Default Swap and CDO Valuation

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
OpenAIRE UsageCountsViews provided by UsageCounts
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