Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models

DOI10.1016/J.AMC.2016.06.049MaRDI QIDQ1733754zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chainnon-homogeneoushedging strategiesCDO tranche

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
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Cites work

• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Hazard rate for credit risk and hedging defaultable contingent claims
• Hedging default risks of CDOs in Markovian contagion models
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
• Pricing and hedging of portfolio credit derivatives with interacting default intensities

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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