A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues (Q5256599): Difference between revisions
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Latest revision as of 01:08, 20 March 2024
scientific article; zbMATH DE number 6447348
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues |
scientific article; zbMATH DE number 6447348 |
Statements
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues (English)
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19 June 2015
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portfolio credit risk
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basket credit derivatives
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Markov copula model
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common shocks
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pricing
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calibration
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Min-variance hedging
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