Matches in SemOpenAlex for { <https://semopenalex.org/work/W2153668059> ?p ?o ?g. }
Showing items 1 to 64 of
64
with 100 items per page.
- W2153668059 abstract "In this note, I describe a simple, but accurate, approximation for the value of a single-name Credit Default Swap (CDS). While it is not difficult to value a single name CDS, it is possible to speed up the valuation process by two or more orders of magnitude with surprisingly little error. The method described in this note requires knowledge of only the initial and current spread of the CDS, its tenor, and the Libor yield at that tenor. It does not require knowledge of the entire yield curve or the term structure of CDS spreads, though the accuracy can be further enhanced by knowledge of the slope of the Libor curve. In spite of its very limited requirements of data and computation, it produces robust answers that are accurate to 1% over a wide range of spreads and tenors, making it well suited for use in simulations, particularly for purposes of risk management." @default.
- W2153668059 created "2016-06-24" @default.
- W2153668059 creator A5033235560 @default.
- W2153668059 date "2006-01-01" @default.
- W2153668059 modified "2023-09-23" @default.
- W2153668059 title "An Approximate Valuation Formula for a Credit Default Swap" @default.
- W2153668059 doi "https://doi.org/10.2139/ssrn.920565" @default.
- W2153668059 hasPublicationYear "2006" @default.
- W2153668059 type Work @default.
- W2153668059 sameAs 2153668059 @default.
- W2153668059 citedByCount "1" @default.
- W2153668059 crossrefType "journal-article" @default.
- W2153668059 hasAuthorship W2153668059A5033235560 @default.
- W2153668059 hasConcept C10138342 @default.
- W2153668059 hasConcept C106159729 @default.
- W2153668059 hasConcept C144133560 @default.
- W2153668059 hasConcept C149782125 @default.
- W2153668059 hasConcept C162118730 @default.
- W2153668059 hasConcept C162324750 @default.
- W2153668059 hasConcept C178350159 @default.
- W2153668059 hasConcept C186027771 @default.
- W2153668059 hasConcept C24308983 @default.
- W2153668059 hasConcept C26457952 @default.
- W2153668059 hasConcept C30589699 @default.
- W2153668059 hasConcept C33923547 @default.
- W2153668059 hasConcept C41008148 @default.
- W2153668059 hasConcept C44309892 @default.
- W2153668059 hasConcept C89997419 @default.
- W2153668059 hasConcept C90992651 @default.
- W2153668059 hasConcept C99821215 @default.
- W2153668059 hasConceptScore W2153668059C10138342 @default.
- W2153668059 hasConceptScore W2153668059C106159729 @default.
- W2153668059 hasConceptScore W2153668059C144133560 @default.
- W2153668059 hasConceptScore W2153668059C149782125 @default.
- W2153668059 hasConceptScore W2153668059C162118730 @default.
- W2153668059 hasConceptScore W2153668059C162324750 @default.
- W2153668059 hasConceptScore W2153668059C178350159 @default.
- W2153668059 hasConceptScore W2153668059C186027771 @default.
- W2153668059 hasConceptScore W2153668059C24308983 @default.
- W2153668059 hasConceptScore W2153668059C26457952 @default.
- W2153668059 hasConceptScore W2153668059C30589699 @default.
- W2153668059 hasConceptScore W2153668059C33923547 @default.
- W2153668059 hasConceptScore W2153668059C41008148 @default.
- W2153668059 hasConceptScore W2153668059C44309892 @default.
- W2153668059 hasConceptScore W2153668059C89997419 @default.
- W2153668059 hasConceptScore W2153668059C90992651 @default.
- W2153668059 hasConceptScore W2153668059C99821215 @default.
- W2153668059 hasLocation W21536680591 @default.
- W2153668059 hasOpenAccess W2153668059 @default.
- W2153668059 hasPrimaryLocation W21536680591 @default.
- W2153668059 hasRelatedWork W2118383063 @default.
- W2153668059 hasRelatedWork W2146107920 @default.
- W2153668059 hasRelatedWork W2148380393 @default.
- W2153668059 hasRelatedWork W2356452078 @default.
- W2153668059 hasRelatedWork W2496497322 @default.
- W2153668059 hasRelatedWork W2618665466 @default.
- W2153668059 hasRelatedWork W3163251138 @default.
- W2153668059 hasRelatedWork W4231431979 @default.
- W2153668059 hasRelatedWork W4316095752 @default.
- W2153668059 hasRelatedWork W3140226851 @default.
- W2153668059 isParatext "false" @default.
- W2153668059 isRetracted "false" @default.
- W2153668059 magId "2153668059" @default.
- W2153668059 workType "article" @default.