Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
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Publication:1733754
DOI10.1016/J.AMC.2016.06.049zbMATH Open1410.91466OpenAlexW2485636601MaRDI QIDQ1733754FDOQ1733754
Authors: Liu Wenqiong, Shenghong Li 
Publication date: 21 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2016.06.049
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Cites Work
- Hazard rate for credit risk and hedging defaultable contingent claims
- Title not available (Why is that?)
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Hedging default risks of CDOs in Markovian contagion models
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
Cited In (5)
- Hedging default risks of CDOs in Markovian contagion models
- Hedging CDO tranches in a Markovian environment
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- The static hedging of CDO tranche correlation risk
- HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
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