Presentation: Optimal leverage strategies for a CDPO
Workshop: Kick-off-Workshop
Time: Tue, September 09, 2008, 10:50-11:40
Speaker: Ralf Korn
Abstract
A CPDO is a new type of financial contract where the seller promisses a riskless spread payment over a riskless rate. However, there is a possibility for a so-called cash-out when the impossibility of full-filling the future payments is realized.
During the talk we derive optimal leverage strategies for such a CPDO and consider their dependence on the input parameters of the contract. They will be compared to strategies used in the industry.
Presentation slides (pdf, 1.5 MB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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