Portfolio optimization of credit swap under funding costs
Abstract We develop a dynamic optimization framework to assess the impact of funding costs on credit swap investments. A defaultable investor can purchase CDS upfronts, borrow at a rate depending on her credit quality, and invest in the money market account. By viewing the concave drift of the wealt...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2017-12-01
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| Series: | Probability, Uncertainty and Quantitative Risk |
| Online Access: | http://link.springer.com/article/10.1186/s41546-017-0023-6 |