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- W78815239 abstract "We study the effect of risk aversion on the valuation of credit derivatives. Using the technology of utility-indiffierence valuation in intensity-based models of default risk, we analyze resulting yield spreads for single-name defaultable bonds and a simple representative two-name credit derivative. The impact of risk averse valuation on prices and yield spreads is expressed in terms of “effective correlation.”" @default.
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- W78815239 date "2007-06-22" @default.
- W78815239 modified "2023-09-25" @default.
- W78815239 title "Utility Valuation of Credit Derivatives: Single and Two-Name Cases" @default.
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- W78815239 doi "https://doi.org/10.1007/978-0-8176-4545-8_15" @default.
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