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Callable Loan Credit Protection: Wilmott Magazine Article
Alain Verberkmoes and Anna Shepeleva 479 Views

A cancelable LCDS is a credit default swap on loans which is terminated when the underlying reference obligations are refinanced. In this paper we present a simple intuitive approach for dealing with such LCDS contracts. The focus is on the dependence of the issuer's decision to refinance on the issuer's credit spread. The resulting model allows for fast numerical evaluation and can be used for trading and risk management purposes.


Lyceum 17: The Central Limit Theorem
Aristotle 6753 Views

Fundamental to the whole subject of finance is the simple concept known as "The Central Limit Theorem." Although not always acknowledged, this is how money is made. Contrary to the popular belief that quants slave away at sophisticated math models to guarantee every trade is profitable, sometimes they make money, sometimes they lose it but?on average they come out ahead. Let's see how this works.

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