Work

Partial hedging in credit markets with structured derivatives: a quantitative approach using put options

Year: 2024

Type: article

Abstract: This study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach introduces the concept of default triggered by the stock price ST breaching a predefined barrier B. By establishing a distributional equivalence between an existing default model and P(ST

Source: Journal of Derivatives and Quantitative Studies 선물연구

DOI: 10.1108/jdqs-06-2024-0019

Author: Constantin Siggelkow

Institution: Technical University of Munich

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4403552241

FWCI:

Cites: 57

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Related to: 10