Dynamic Hedging of Portfolio Credit Derivatives (Q3074988)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Hedging of Portfolio Credit Derivatives |
scientific article |
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Dynamic Hedging of Portfolio Credit Derivatives (English)
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10 February 2011
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hedging
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credit default swaps
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portfolio credit derivatives
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index default swaps
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collateralized debt obligations
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portfolio credit risk models
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default contagion
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spread risk
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sensitivity-based hedging
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variance minimization
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