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Operations Research Proceedings 2010 pp 117–122Cite as

Valuation of Complex Financial Instruments for Credit Risk Transfer

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Abstract

The fair valuation of complex financial products for credit risk transfer (CRT) can provide a good basis for sustained growth of these markets and their recovery after the current financial crisis. Therefore, the risks of these structured credit securities (such as Collateralized Debt Obligations (CDO) and Credit Default Swap-Index tranches) have to be known as well as the investor’s current risk aversion.

We thank Mr. Dr. Liebig and Mrs. Mrasek (Deutsche Bundesbank) as well as Mr. Gruber, Mr. Fuechsl and Mrs. Hu (Bayerische Landesbank) for providing the data sets within a research cooperation.

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Author information

Authors and Affiliations

  1. Department of Statistics, Faculty of Business Management, Economics and Management Information Systems, University of Regensburg, 93040, Regensburg, Germany

    Prof. Dr. Alfred Hamerle & Andreas Igl

Authors
  1. Prof. Dr. Alfred Hamerle
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  2. Andreas Igl
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Corresponding author

Correspondence to Alfred Hamerle .

Editor information

Editors and Affiliations

  1. , Fakultät für Betriebswirtschaft, Universität der Bundeswehr München, Werner-Heisenberg-Weg 39, Neubiberg, 85577, Bayern, Germany

    Bo Hu

  2. , Fakultät für Wirtschafts- und Organisati, Universität der Bundeswehr München, Werner-Heisenberg-Weg 39, Neubiberg, 85577, Bayern, Germany

    Karl Morasch

  3. Fakultät für Informatik, Universität der Bundeswehr München, Werner-Heisenberg-Weg 39, Neubiberg, 85577, Germany

    Stefan Pickl

  4. , Fakultät für Informatik, Universität der Bundeswehr München, Werner-Heisenberg-Weg 39, Neubiberg, 85577, Bayern, Germany

    Markus Siegle

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Hamerle, A., Igl, A. (2011). Valuation of Complex Financial Instruments for Credit Risk Transfer. In: Hu, B., Morasch, K., Pickl, S., Siegle, M. (eds) Operations Research Proceedings 2010. Operations Research Proceedings. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-20009-0_19

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