The static hedging of CDO tranche correlation risk
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Publication:3636731
DOI10.1080/00207160802444011zbMATH Open1163.91426OpenAlexW2113265803MaRDI QIDQ3636731FDOQ3636731
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
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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
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
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