Hedging structured credit products during the credit crisis: A horse race of 10 models
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More about this item
KeywordsStructured products; P&L analysis; Hedging; Bottom-up models; Top-down models; Copulas; Self-exciting models;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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