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Results tagged with risk-neutral-measure
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user 36636
A risk-neutral measure is a probability measure that yields an expected present value (discounted at the risk-free rate) which is equal to the current market price. The risk-neutral measure is also called an equivalent martingale measure.
6
votes
The difference between Credit Curve and CDS Curve
You should split this question into several.
The same debtor can have slightly different credit curves for different products and tiers, eg 1at lien loans, senior unsecured bonds, subordinated... it' …
- 13.2k
4
votes
Accepted
Objective probability of default from CDS spread
(Bloomberg and Reuters News are fond is reporting that some name is trading at some such CDS spread, "which implies N% probability of default". They neglect to mention what recovery assumption they us …
- 13.2k
3
votes
Accepted
Is GARCH (and or it's variations) actually used in risk-modelling for expected-shortfall?
I found an example: Martin Auer. Hands-On Value-at-Risk and Expected Shortfall: A Practical Primer. Springer (2018). The blurb gives his affiliation as Raiffeisen Bank International, Vienna, Austria. …
- 13.2k
2
votes
Measure for probabilities inferred from prices of derivatives on non-traded random variables?
St Louis Fed published in 2006 a very nice paper: What Are the Odds? Option-Based Forecasts of FOMC Target Changes by William Emmons, Aeimit Lakdawala, and Christopher Neely, which discusses futures o …
- 13.2k