Optimal Credit Swap Portfolios
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Giesecke, Kay | - |
dc.contributor.author | Kim, Baeho | - |
dc.contributor.author | Kim, Jack | - |
dc.contributor.author | Tsoukalas, Gerry | - |
dc.date.accessioned | 2021-09-05T05:59:55Z | - |
dc.date.available | 2021-09-05T05:59:55Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2014-09 | - |
dc.identifier.issn | 0025-1909 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/97622 | - |
dc.description.abstract | This paper formulates and solves the selection problem for a portfolio of credit swaps. The problem is cast as a goal program that entails a constrained optimization of preference-weighted moments of the portfolio value at the investment horizon. The portfolio value takes account of the exact timing of protection premium and default loss payments, as well as any mark-to-market profits and losses realized at the horizon. The constraints address collateral and solvency requirements, initial capital, position limits, and other trading constraints that credit swap investors often face in practice. The multimoment formulation accommodates the complex distribution of the portfolio value, which is a nested expectation under risk-neutral and actual probabilities. It also generates computational tractability. Numerical results illustrate the features of optimal portfolios. In particular, we find that credit swap investment constraints can have a significant impact on optimal portfolios, even for simple investment objectives. Our problem formulation and solution approach extend to corporate bond portfolios and mixed portfolios of corporate bonds and credit derivatives. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | INFORMS | - |
dc.subject | SELECTION | - |
dc.subject | RISK | - |
dc.subject | OPTIMIZATION | - |
dc.subject | SKEWNESS | - |
dc.subject | PREFERENCE | - |
dc.subject | VALUATION | - |
dc.subject | VARIANCE | - |
dc.title | Optimal Credit Swap Portfolios | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Baeho | - |
dc.identifier.doi | 10.1287/mnsc.2013.1890 | - |
dc.identifier.scopusid | 2-s2.0-84907380769 | - |
dc.identifier.wosid | 000341870500009 | - |
dc.identifier.bibliographicCitation | MANAGEMENT SCIENCE, v.60, no.9, pp.2291 - 2307 | - |
dc.relation.isPartOf | MANAGEMENT SCIENCE | - |
dc.citation.title | MANAGEMENT SCIENCE | - |
dc.citation.volume | 60 | - |
dc.citation.number | 9 | - |
dc.citation.startPage | 2291 | - |
dc.citation.endPage | 2307 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Operations Research & Management Science | - |
dc.relation.journalWebOfScienceCategory | Management | - |
dc.relation.journalWebOfScienceCategory | Operations Research & Management Science | - |
dc.subject.keywordPlus | SELECTION | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | OPTIMIZATION | - |
dc.subject.keywordPlus | SKEWNESS | - |
dc.subject.keywordPlus | PREFERENCE | - |
dc.subject.keywordPlus | VALUATION | - |
dc.subject.keywordPlus | VARIANCE | - |
dc.subject.keywordAuthor | finance | - |
dc.subject.keywordAuthor | investments | - |
dc.subject.keywordAuthor | portfolio optimization | - |
dc.subject.keywordAuthor | credit swaps | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.