The static hedging of CDO tranche correlation risk (Q3636731): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1080/00207160802444011 / rank | |||
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| Property / OpenAlex ID: W2113265803 / rank | |||
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| Property / cites work: Dynamic hedging of synthetic CDO tranches with spread risk and default contagion / rank | |||
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| Property / cites work: Hedging default risks of CDOs in Markovian contagion models / rank | |||
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| Property / cites work: Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches / rank | |||
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| Property / cites work: Q2757049 / rank | |||
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Latest revision as of 17:54, 1 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The static hedging of CDO tranche correlation risk |
scientific article |
Statements
The static hedging of CDO tranche correlation risk (English)
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29 June 2009
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CDOs
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hedging
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correlation risk
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