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Arvanitis, Angelo; Gregory, Jonathon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 27-43

Persistent link: https://www.econbiz.de/10001432491

ON THE EDGE OF COMPLETENESS - The authors present a strategy for hedging the P&L of a book of credit contingent contracts that emphasises reducing losses at default.

Arvanitis, Angelo; Laurent, Jean-Paul - In: Risk : managing risk in the world's financial markets 12 (1999) 10, pp. 61-70

Persistent link: https://www.econbiz.de/10007053753

Building Models for Credit Spreads

Arvanitis, Angelo - 2018

This article shows how a modeling framework for the evolution of credit spreads can be built up starting from a simple representation with only two states - default and no default. The model is generalized by introducing credit classes, with transitions from one class to another driven by a...

Persistent link: https://www.econbiz.de/10012746720

BUILDING MODELS FOR CREDIT SPREADS

Arvanitis, Angelo; Gregory, Jonathon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 27-43

Persistent link: https://www.econbiz.de/10007342806