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- W3164200003 abstract "This paper presents a study and a framework to assess the fair economic value of Structured Products pledged as collateral in a Lombard Loan. In particular, it discusses how the value of Barrier Reverse Convertibles in the market can be used to determine the Loan-to-Value by applying the concept of Conditional Value at Risk based on Monte Carlo simulations. It also provides important analysis for pricing and evaluating Barrier Reverse Convertibles to fill a gap in the Literature. Therefore, a simulated approach is proposed with a valid risk model and an algorithm is applied to compute the tail risk probabilities. The Model variables takes into consideration both market and credit risk factors to assess the economic value for the pledged Barrier Reverse Convertibles. The study finds that Barrier Reverse Convertibles are favourable investment vehicles which can create liquidity even in a time of crisis." @default.
- W3164200003 created "2021-06-07" @default.
- W3164200003 creator A5055288011 @default.
- W3164200003 date "2020-01-01" @default.
- W3164200003 modified "2023-09-25" @default.
- W3164200003 title "Determining the Loan-to-Value of Structured Products for Security Backed Lending" @default.
- W3164200003 doi "https://doi.org/10.2139/ssrn.3612950" @default.
- W3164200003 hasPublicationYear "2020" @default.
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