Dynamic hedging of portfolio credit derivatives (Q3074988)
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scientific article; zbMATH DE number 5849817
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dynamic hedging of portfolio credit derivatives |
scientific article; zbMATH DE number 5849817 |
Statements
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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0.8379051685333252
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0.818862795829773
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0.8179009556770325
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0.8118267059326172
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0.80777907371521
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