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This article aims to discuss some basics in field of credit modeling, specifically the pricing issue of FtD contract. We demonstrate how the popular copula approach is used in pricing FtD contract, and give a stimulation example of such practice based on SAS 9.1.
Emerging market hard-currency bonds are an asset class of growing importance, and contain exposure to an EM sovereign and the underlying industry. The authors investigate how to model this as a modification of the well-known first-to-default (FtD) basket, using the structural model, and find the approach feasible.
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model numerically for two banks with jumps in their asset value processes. Specifically, we develop a finite difference method for the resulting two-dimensional partial integro-differential e…
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual obligations more transparent, a simple structural default model with banks' assets driven by correlated multidimensional Brownian motion with drift is considered. This model enables a close…
Systematic Investment Plans (SIPs) are a primary vehicle for retail equity participation in India, yet the impact of their intra-month timing remains underexplored. This study offers a 22-year (2003--2024) comparative analysis of SIP performance in the Nifty 50 index, contrasting the conventional first-trading-day (FTD-SIP) strategy with an alternative aligned to monthly Futures and Options expiry days (EXP-SIP). Usi…