scholarly journals Risk Premia and Optimal Liquidation of Defaultable Securities

2011 ◽  
Author(s):  
Tim Siu-Tang Leung ◽  
Peng Liu
Keyword(s):  
Risk Premia ◽  
Optimal Liquidation ◽  
Defaultable Securities

scholarly journals RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES

2012 ◽  
Vol 15 (08) ◽  
pp. 1250059 ◽  
Author(s):  
TIM LEUNG ◽  
PENG LIU
Keyword(s):  
Default Risk ◽  
Risk Model ◽  
Credit Derivatives ◽  
Risk Premia ◽  
Optimal Timing ◽  
Probabilistic Representation ◽  
Short Sale ◽  
Optimal Liquidation ◽  
Stochastic Interest ◽  
Credit Risk Model

This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is characterized by risk-neutral valuation under different default risk premia specifications. We quantify the value of optimally timing to sell through the concept of delayed liquidation premium, and analyze the associated probabilistic representation and variational inequality. We illustrate the optimal liquidation policy for both single-name and multi-name credit derivatives. Our model is extended to study the sequential buying and selling problem with and without short-sale constraint.

Forecasting Risk Premia for Stocks and Bonds

1990 ◽  
Vol 1990 (1) ◽  
pp. 22-28
Author(s):  
Kenneth R. French
Keyword(s):  
Risk Premia

Tails, Fears, and Risk Premia

CFA Digest ◽  
2012 ◽  
Vol 42 (2) ◽  
pp. 68-69
Author(s):  
Keith H. Black
Keyword(s):  
Risk Premia

Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models
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