Delta-hedging correlation risk?
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 15 (2012)
Issue (Month): 1 (April)
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Web page: http://www.springerlink.com/link.asp?id=102989
Credit risk; CDO; Hedging; Delta; Gaussian copula; Local intensity; Backtesting; G13;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
- Rama Cont & Yu Hang Kan, 2011. "Dynamic hedging of portfolio credit derivatives," Post-Print hal-00578008, HAL.
- Rüdiger Frey & Jochen Backhaus, 2008. "Pricing And Hedging Of Portfolio Credit Derivatives With Interacting Default Intensities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 611-634.
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