In this paper we present a model to price and hedge basket credit derivatives and collateralised loan obligation. Based upon the copula-approach by Schönbucher and Schubert (2001) the model allows... Show moreIn this paper we present a model to price and hedge basket credit derivatives and collateralised loan obligation. Based upon the copula-approach by Schönbucher and Schubert (2001) the model allows a specification of the joint dynamics of credit spreads and default intensities, including a speci¯cation of the infection dynamics which cause credit spreads to widen at defaults of other obligors. Because of a high degree of analytical tractability, joint default and survival probabilities and also sensitivities can be given in closed-form which facilitates the development of hedging strategies based upon the model. The model uses a generalisation of the class of Archimedean copula functions which gives rise to more realistic credit spread dynamics than the Gaussian copula or the Student-t-copula which are usually chosen in practice. An example speci¯cation using Gamma-distributed factors is provided. Show less
This bibliography on Christianity in Ethiopia covers material published from the early 1960s onwards. It focuses on the Ethiopian Orthodox Church, including the Eritrean Orthodox Church, which... Show moreThis bibliography on Christianity in Ethiopia covers material published from the early 1960s onwards. It focuses on the Ethiopian Orthodox Church, including the Eritrean Orthodox Church, which became autonomous in 1993, but references on modern missionary and evangelical Christianity, as well as Catholicism are also included. The focus is on foreign-language studies, but a limited number of works in Ethiopian languages is also included. The entries are arranged in three parts: 1. Ethiopian Orthodox Christianity and missionary churches: historical, political, religious and sociocultural aspects; 2. Christian texts, manuscripts, hagiographies; 3. Ethiopian Christian art and architecture. [ASC Leiden abstract] Show less
