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- W2493652011 abstract "This chapter covers some of the main advanced multi-name credit derivative products. Constant Proportion Portfolio Insurance (CPPI) stands for constant proportion portfolio insurance and is a generic dynamic portfolio management methodology developed by Black and Jones. CPPI is designed to allow an investor to participate in the performance of a stock or index while imposing a limit on the downside losses. Its advantage is that while it requires a liquid underlying index, it does not require the existence of a long-dated volatility market. A CPPI is a dynamic trading strategy in which all of the payments to the investor are replicated exactly by the issuer who simply follows the CPPI rebalancing strategy. As a result, the issuer simply passes through the cash payments from the CPPI strategy. The consequence is that there will not be enough cash left in the structure to purchase the zero coupon bond required to guarantee the payment of par at the specified maturity. Constant proportion debt obligations (CPDOs) have been one of the most recent innovations in the credit markets. In common with CPPI structures, they provide a dynamically managed leveraged exposure to one or more credit indices." @default.
- W2493652011 created "2016-08-23" @default.
- W2493652011 creator A5059587449 @default.
- W2493652011 date "2012-01-02" @default.
- W2493652011 modified "2023-09-24" @default.
- W2493652011 title "Advanced Multi‐name Credit Derivatives" @default.
- W2493652011 doi "https://doi.org/10.1002/9781119201960.ch22" @default.
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