Dynamic Hedging of Portfolio Credit Derivatives

DOI10.1137/090750937zbMath1205.91157OpenAlexW3122817323MaRDI QIDQ3074988

Yu Hang Kan, Rama Cont

Publication date: 10 February 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090750937

zbMATH Keywords

hedgingvariance minimizationcredit default swapsdefault contagionportfolio credit derivativesportfolio credit risk modelscollateralized debt obligationsspread riskindex default swapssensitivity-based hedging

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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