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Delta-hedging correlation risk?


  • Areski Cousin


  • Stéphane Crépey


  • Yu Kan



No abstract is available for this item.

Suggested Citation

  • Areski Cousin & Stéphane Crépey & Yu Kan, 2012. "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, vol. 15(1), pages 25-56, April.
  • Handle: RePEc:kap:revdev:v:15:y:2012:i:1:p:25-56
    DOI: 10.1007/s11147-011-9068-3

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    References listed on IDEAS

    1. 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.
    2. Rama Cont & Yu Hang Kan, 2011. "Dynamic hedging of portfolio credit derivatives," Post-Print hal-00578008, HAL.
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    More about this item


    Credit risk; CDO; Hedging; Delta; Gaussian copula; Local intensity; Backtesting; G13;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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