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

DOI10.1093/IMAMAN/DPAA013OpenAlexW3035687935MaRDI QIDQ5000471FDOQ5000471

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)

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