The static hedging of CDO tranche correlation risk

DOI10.1080/00207160802444011MaRDI QIDQ3636731zbMATHOpenAlexFDO

Authors Michael B. Walker

Publication date 29 June 2009

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160802444011

zbMATH Keywords

hedgingcorrelation riskCDOs

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
• Hedging CDO tranches in a Markovian environment
• HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
• Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches
• Hedging default risks of CDOs in Markovian contagion models
• A Copula-Based Model of the Term Structure of CDO Tranches
• Pricing a CDO on stochastically correlated underlyings
• PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL

Cites work

• Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Fixed income securities: Tools for today's markets
• Hedging default risks of CDOs in Markovian contagion models

Cited in

(4)

• Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
• SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
• HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion

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