PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL (Q5169987): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q126235656 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Analytical value-at-risk with jumps and credit risk / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling / rank | |||
Normal rank | |||
Latest revision as of 18:10, 8 July 2024
scientific article; zbMATH DE number 6317935
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL |
scientific article; zbMATH DE number 6317935 |
Statements
PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL (English)
0 references
17 July 2014
0 references
Marshall-Olkin model
0 references
common Poisson shocks
0 references
dynamic copula
0 references
asymptotic series expansion
0 references
top-down approach
0 references
forward skew
0 references
marked point process
0 references
market incompleteness
0 references
dynamic hedging
0 references
quadratic risk minimization
0 references
Föllmer-Sondermann approach
0 references
