Sircar, Ronnie; Zariphopoulou, Thaleia - In: Quantitative Finance 10 (2010) 2, pp. 195-208
We study the impact of risk-aversion on the valuation of credit derivatives. Using the technology of utility-indifference pricing in intensity-based models of default risk, we analyse resulting yield spreads in multi-name credit derivatives, particularly CDOs. We study first the idealized...