The static hedging of CDO tranche correlation risk
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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
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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