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Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation criticality of leverage Risk Management
2012/4/28
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling a...
We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default tim...