HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH

DOI10.1142/S0219024918500577MaRDI QIDQ4631691zbMATH OpenOpenAlexWikidataFDO

Authors Wenqiong Liu, Wenli Huang

Publication date 18 April 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500577

zbMATH Keywords

default riskhedgecombined forecastingspread riskCDO tranches

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Theory of fuzzy sets, etc. (03E72) Credit risk (91G40)

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
• The static hedging of CDO tranche correlation risk
• Hedging default risks of CDOs in Markovian contagion models
• Hedging CDO tranches in a Markovian environment
• PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
• Pricing synthetic CDO with multiparameter Archimedean copula models
• Hedging of Credit Derivatives in Models with Totally Unexpected Default
• Exact pricing asymptotics of investment-grade tranches of synthetic CDO's: a large homogeneous pool
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches

Cites work

• scientific article; zbMATH DE number 1736344 (Why is no real title available?)
• A combined forecasting approach based on fuzzy soft sets
• A fuzzy soft set theoretic approach to decision making problems
• An application of soft sets in a decision making problem.
• Dynamic hedging of portfolio credit derivatives
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Hedging default risks of CDOs in Markovian contagion models
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
• Soft set theory
• Soft set theory -- first results

Cited in

(5)

• Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
• Some short elements on hedging credit derivatives
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Pricing and hedging of CDOs: a top down approach
• The static hedging of CDO tranche correlation risk

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