### 金融代写|金融数学作业代写Financial Mathematics代考|Integrated Credit Portfolio Management: A Preview

statistics-lab™ 为您的留学生涯保驾护航 在代写金融数学Financial Mathematics方面已经树立了自己的口碑, 保证靠谱, 高质且原创的统计Statistics代写服务。我们的专家在代写金融数学Financial Mathematics代写方面经验极为丰富，各种代写金融数学Financial Mathematics相关的作业也就用不着说。

• Statistical Inference 统计推断
• Statistical Computing 统计计算
• (Generalized) Linear Models 广义线性模型
• Statistical Machine Learning 统计机器学习
• Longitudinal Data Analysis 纵向数据分析
• Foundations of Data Science 数据科学基础

## 金融代写|金融数学作业代写Financial Mathematics代考|Single-Name CDS and Corporate Bonds

Single-name CDSs can be considered as highly commoditized credit risk instruments which enjoy an even higher liquidity than the underlying bonds. In an integrated credit portfolio management approach, these instruments are the nuclei of the risk portfolio. They serve as underlyings of structured portfolio derivatives, such as CDS index contracts (iTraxx and CDX), FTD baskets, and CDO tranches, and as hedging tools for managing the idiosyncratic risks within credit portfolio derivatives.

## 金融代写|金融数学作业代写Financial Mathematics代考|iTraxx Future

In March 2007, the Eurex introduced credit future contracts referring to the iTraxx EUR indices. Also, the Chicago Board of Trade (CBOT) and the Chicago Mercantile Exchange (CME) are currently thinking about the introduction of exchange traded credit derivatives contracts. The first and most important aspect about the iTraxx Futures contract is that it is not a futures contract in the usual sense, as it does not have a forward payoff profile. It can be viewed as a standardized exchange traded total return index on an unfunded underlying. In contrast to a forward CDS contract, the iTraxx Futures involves during the holding period premium payments (however, not as real cash flows but as accruals), and default risk (forward CDS is usually knock-out-on-default contracts).

The iTraxx Futures contract is quoted in (dirty) price terms, which reflects the following:

• Accrued premium (referring to the deal spread of the underlying swap contract)
• Value change in the underlying iTraxx swap contract (because of spread changes)
• Losses owing to a credit event (including the recovery rate)
Regarding the CDS premium, it is important to note that there will be no real payments booked during the lifetime of the contract. Hence, in contrast to the iTraxx swap contract, in which premiums are paid quarterly, the future contract accounts for premiums only by accruing them over the entire lifetime. In technical terms, the underlying of the future can be viewed as a swap contract with a long first coupon where the pay-date of the premium is the expiry date of the future.
The future price consists of four components.
• Basis: The basis of the futures contract is given by the sum of the weightings of the non-defaulted underlyings. In case of no defaults, the basis is 100 . In case of a default event, it will be reduced.
• Accrued premium: The premium of the futures contract starts to accrue from the effective date of the underlying iTraxx contract.
• (Clean) Value: The clean value component of the futures contract reflects the present value change in the contract owing to spread changes in the underlying iTraxx. It can be approximated by: Spreadchange $\times$ DV01.
• Recovery rate: In case of a default event, the recovery rate for the defaulted entity has to be reflected in the iTraxx Futures price.

## 金融代写|金融数学作业代写Financial Mathematics代考|CPDOs

The CPDO hype in 2006 raised some questions about the basic construction principles, risk factors, and potential improvements. In respect of the construction principle, the leverage mechanism was a major concern regarding first-generation CPDOs. At a first glance, these structures will come under pressure in case the positive carry and roll-down effects will be offset by wider spreads and hence the net asset value of the structure declines. However, back-testing showed that CPDOs even survived 2001/2002 scenarios as a dramatic widening was offset by the following strong tightening which more than offset the widening as leverage increased. Consequently, cash-in events of potential CPDO transactions issued before $2001 / 2002$ took place within the maturity of the structures.
In addition, the assumption of a normally shaped credit curve has a strong impact on the expected performance of CPDOs. Assuming a roll-down of $2.5 \mathrm{bp}$ for half a year, the performance impact, e.g., based on an initial average spread level of $25 \mathrm{bp}$ (CDX and iTraxx), amounts to around $11 \mathrm{bp}$. However, in case of curve inversion, this positive performance contribution could move into negative terrain. The assumption of rolling down the curve is closely coupled with the assumption of a positive roll spread. A positive roll spread triggers increasing spread income at every roll-date, just by extending the maturity of the underlying contract. A positive roll spread is obviously based on the idea that no distressed debt emerges in the on-the-run period of a series. Assuming some names drop from investment grade to the sub-investment grade area, the roll spread might be negative. This means that leverage has to be higher in the new series to generate enough carry.

The leverage mechanism in a CPDO is constructed in a way that the relation between leverage (as a multiple of the underlying credit indices) and the net asset value of the portfolio remains constant.

One of the major concerns regarding the CPDO structures remains static, purely formula-based character with respect to the exposure to the risky underlying. As a result, the structure may underperform when rolling the underlying CDS index positions from an old series to a new one, as markets might adapt to this forced-to-roll behavior. Another negative effect of the purely rules-based trading strategy is that the CPDO might suffer in a falling angel scenario. In this case, the underlying risky asset incurs mark-to-market losses (because of the spread widening in the old series driven by the falling angels), which cannot be offset by a higher carry income in the new series, as the downgraded high

spread names were excluded from the new index. The next generation of CPDO structures is trying to cope with the potential weaknesses of the transactions we have seen in 2006. The second generation of CPDOs can be divided into adjusted rules-based and managed deals.

A CPDO is designed to take a leveraged long exposure on credit markets, with mark-tomarket risk clearly dominating default risk. That said, we can use CPDOs as a satellite investment which allows us to take a leveraged view on directional moves in the credit market.

## 金融代写|金融数学作业代写Financial Mathematics代考|Single-Name CDS and Corporate Bonds

CDS 是一种双边场外交易 (OTC) 合约，将信用风险从保护买方转移到保护卖方。作为承担信用风险的补偿，保护卖方通常会收到季度保费支付。值得注意的是，在流动性市场中，CDS 合约很容易在到期前终止，这涉及终止费，反映了结束日的公允价值，与利率掉期相当。因此，CDS 合约不仅是一种买入并持有合约，而且是一种允许活跃交易的合约，即使在较短的时间范围内也是如此。当前市场的流动性如此之大——这意味着买卖价差是如此之窄——以至于几天的交易时间范围可能已经提供了有吸引力的机会，尤其是在波动更大的市场中，例如交叉市场。作为结果，CDS 工具可用于实施积极的管理风格，不仅关注买入并持有投资，还关注更积极的策略，在较短的时间范围内管理信用风险头寸。这也意味着必须调整潜在的风险观点。虽然在纯买入并持有的投资组合中，违约风险是主要关注点，但积极的信贷投资组合管理更多地集中在盯市风险上。

## 金融代写|金融数学作业代写Financial Mathematics代考|iTraxx Future

2007 年 3 月，欧洲期货交易所引入了参考 iTraxx 欧元指数的信用期货合约。此外，芝加哥期货交易所 (CBOT) 和芝加哥商品交易所 (CME) 目前正在考虑引入交易所交易的信用衍生品合约。iTraxx 期货合约的第一个也是最重要的方面是它不是通常意义上的期货合约，因为它没有远期收益概况。它可以被视为无资金基础的标准化交易所交易总回报指数。与远期 CDS 合约相比，iTraxx 期货涉及持有期间的溢价支付（但是，不是作为实际现金流，而是作为应计项目）和违约风险（远期 CDS 通常是违约敲除合同）。

iTraxx 期货合约以（肮脏的）价格条款报价，这反映了以下内容：

• 应计溢价（指标的掉期合约的交易价差）
• 基础 iTraxx 掉期合约的价值变化（由于价差变化）
• 信用事件造成的损失（包括回收率）
关于 CDS 溢价，重要的是要注意在合同有效期内不会有实际付款。因此，与按季度支付保费的 iTraxx 掉期合约相比，未来合约仅通过在整个生命周期内累积保费来计算保费。用技术术语来说，期货的标的物可以被视为具有长期首息的掉期合约，其中溢价的支付日期是期货的到期日。
未来价格由四个部分组成。
• 基差：期货合约的基差由未违约标的物权重之和给出。如果没有默认值，则基数为 100 。如果发生默认事件，它将被减少。
• 应计溢价：期货合约的溢价自标的 iTraxx 合约生效之日起开始累积。
• 回收率：如果发生违约事件，违约实体的回收率必须反映在 iTraxx 期货价格中。

## 金融代写|金融数学作业代写Financial Mathematics代考|CPDOs

2006 年的 CPDO 炒作引发了一些关于基本建设原则、风险因素和潜在改进的问题。在构建原理上，杠杆机制是第一代CPDO的主要关注点。乍一看，这些结构将面临压力，以防积极的套利和滚降效应被更大的利差所抵消，从而导致结构的资产净值下降。然而，回溯测试表明，CPDO 甚至在 2001/2002 年的情景中幸存下来，因为随后的强劲收紧抵消了大幅扩大，这远远抵消了杠杆增加时的扩大。因此，之前发布的潜在 CPDO 交易的兑现事件2001/2002发生在结构的成熟期。

CPDO 中的杠杆机制的构建方式是，杠杆（作为基础信用指数的倍数）与投资组合的资产净值之间的关系保持不变。

CPDO 旨在在信贷市场上进行杠杆多头敞口，其中盯市风险明显主导违约风险。也就是说，我们可以将 CPDO 用作卫星投资，这使我们能够对信贷市场的方向性变动采取杠杆式的看法。

## 有限元方法代写

tatistics-lab作为专业的留学生服务机构，多年来已为美国、英国、加拿大、澳洲等留学热门地的学生提供专业的学术服务，包括但不限于Essay代写，Assignment代写，Dissertation代写，Report代写，小组作业代写，Proposal代写，Paper代写，Presentation代写，计算机作业代写，论文修改和润色，网课代做，exam代考等等。写作范围涵盖高中，本科，研究生等海外留学全阶段，辐射金融，经济学，会计学，审计学，管理学等全球99%专业科目。写作团队既有专业英语母语作者，也有海外名校硕博留学生，每位写作老师都拥有过硬的语言能力，专业的学科背景和学术写作经验。我们承诺100%原创，100%专业，100%准时，100%满意。

## MATLAB代写

MATLAB 是一种用于技术计算的高性能语言。它将计算、可视化和编程集成在一个易于使用的环境中，其中问题和解决方案以熟悉的数学符号表示。典型用途包括：数学和计算算法开发建模、仿真和原型制作数据分析、探索和可视化科学和工程图形应用程序开发，包括图形用户界面构建MATLAB 是一个交互式系统，其基本数据元素是一个不需要维度的数组。这使您可以解决许多技术计算问题，尤其是那些具有矩阵和向量公式的问题，而只需用 C 或 Fortran 等标量非交互式语言编写程序所需的时间的一小部分。MATLAB 名称代表矩阵实验室。MATLAB 最初的编写目的是提供对由 LINPACK 和 EISPACK 项目开发的矩阵软件的轻松访问，这两个项目共同代表了矩阵计算软件的最新技术。MATLAB 经过多年的发展，得到了许多用户的投入。在大学环境中，它是数学、工程和科学入门和高级课程的标准教学工具。在工业领域，MATLAB 是高效研究、开发和分析的首选工具。MATLAB 具有一系列称为工具箱的特定于应用程序的解决方案。对于大多数 MATLAB 用户来说非常重要，工具箱允许您学习应用专业技术。工具箱是 MATLAB 函数（M 文件）的综合集合，可扩展 MATLAB 环境以解决特定类别的问题。可用工具箱的领域包括信号处理、控制系统、神经网络、模糊逻辑、小波、仿真等。