Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models (Q1733754)
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scientific article; zbMATH DE number 7040383
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| English | Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models |
scientific article; zbMATH DE number 7040383 |
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Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models (English)
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21 March 2019
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CDO tranche
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hedging strategies
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Markov chain
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non-homogeneous
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0.9684497
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0.9357588
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0.89151263
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0.88967454
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0.8820571
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0.87687236
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0.87301433
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0.87275696
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