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collateral hedging, which enables collateral protection insurance (CPI) contracts together with existing investment in capital to … higher collateral requirements on CPI or capital, towards mitigating default friction and maximizing social welfare. The … for higher collateral requirements on capital; while under moderate levels of disagreement, increasing collateral …
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This paper is intended as a pedagogical note to explain CDO and structured financial credit products modeling and some approaches to their pricing. The authors thank the NYU-Polytechnic Institute for the research support through the department of Finance and Risk Engineering and the Topfer Chair
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This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets …
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