Search results

We discuss the valuation of credit derivatives in extreme regimes such as when the time-to-maturity is short, or when payoff is contingent upon a large number of defaults, as with senior tranches of collateralized debt obligations. In these cases, risk aversion may play an important role, especially when there is little liquidity, and utility-indifference valuation may apply. Specifically, we analyze how short-term yield spreads from defaultable bonds in a structural model may be raised due to investor risk aversion.

The main theme of this volume is credit risk and credit derivatives. Recent developments in financial markets show that appropriate modeling and quantification of credit risk is fundamental in the context of modern complex structured financial products. Moreover, there is a need for further developments in our understanding of this important area. In particular modeling defaults and their correlation has been a real challenge in recent years, and still is. This problem is even more relevant after the so-called subprime crisis that hit in the summer of 2007. This makes the volume very timely and hopefully useful for researchers in the area of credit risk and credit derivatives.

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:

In this chapter, I explore two media texts, Imtiaz Ali's Highway and Alankrita Shrivastava's Netflix original series Bombay Begums (2021). I contend that recent filmmakers have begun to arguably reframe the narratives of rape victim-survivors and disrupting the cultural of silence described above. They offer progressive and multi-faceted representations of these experiences, such that there is an opportunity for a dialogue within both private and public spheres. What I mean when I say that they are ‘progressive representations’ is that the rape victim-survivors are not merely reduced to helpless women in distress, nor painted as vengeful, aggressive characters. Instead, their characterisation shows that they have agency and autonomy, but at the same time struggle with the repercussions of speaking out against their perpetrators in a society that does not support them wholly.