Pricing and Risk Management of Synthetic CDOs pp 227-252 | Cite as
Simulation Framework
Chapter
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Abstract
Such a simulation framework is useful in the application fields like portfolio optimization and asset-liability management. First, a risk-factor scenarios are simulated. Afterwards, the present values of various instruments can be computed along the simulated paths. Finally, taking into account the development of present values and cash flows of the instruments along the simulated paths, a portfolio optimization can be performed and an optimal asset allocation can be determined.
Keywords
Credit Default Swap Asset Return Default Probability Credit Spread Short Rate
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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© Springer Berlin Heidelberg 2011