Hedging default risks of CDOs in Markovian contagion models (Q2866390): Difference between revisions
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| Property / cites work: Hazard rate for credit risk and hedging defaultable contingent claims / rank | |||
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| Property / cites work: JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS / rank | |||
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| Property / cites work: PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES / rank | |||
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| Property / cites work: Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later / rank | |||
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| Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank | |||
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Latest revision as of 03:37, 7 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging default risks of CDOs in Markovian contagion models |
scientific article |
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Hedging default risks of CDOs in Markovian contagion models (English)
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13 December 2013
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actuarial science
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asset management
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defaultable securities
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correlation modelling
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