Pricing and hedging of credit derivatives in a model with interacting default intensities: A Markovian approach.
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Publication:3394435
zbMATH Open1175.91005MaRDI QIDQ3394435FDOQ3394435
Authors: Jochen Backhaus 
Publication date: 31 August 2009
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- scientific article; zbMATH DE number 2144815
Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Microeconomic theory (price theory and economic markets) (91B24)
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- Credit risk modelling: intensity based approach
- Hedging default risks of CDOs in Markovian contagion models
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- A top-down approach to multiname credit
- Credit risk: Modeling and numerical simulation
- Price discovery in the markets for credit risk: a Markov switching approach
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
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