How correlation risk in basket credit derivatives might be priced and managed?

DOI10.1093/IMAMAN/DPAA013MaRDI QIDQ5000471zbMATH OpenOpenAlexFDO

Authors Feng-Hui Yu, Wai-Ki Ching, Tak Kuen Siu, Dong-Mei Zhu, Jia-Wen Gu

Publication date 13 July 2021

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpaa013

zbMATH Keywords

pricinghedgingbasket credit default swapsGaussian copula models

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Cited in

(1)

• scientific article; zbMATH DE number 1867087 (Why is no real title available?)

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