Hedging residual value risk using derivatives
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References listed on IDEAS
- Hugues Pirotte & Mathias Schmit & Céline Vaessen, 2004. "Credit risk mitigation evidence in auto leases: LGD and residual value risk," Working Papers CEB 04-008.RS, ULB -- Universite Libre de Bruxelles.
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03-009.RS, ULB -- Universite Libre de Bruxelles.
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Cited by:
- Sylvain Prado, 2010. "A Family Hitch : Econometrics of the New and the Used Car Markets," EconomiX Working Papers 2010-4, University of Paris Nanterre, EconomiX.
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More about this item
Keywords
Residual value risk; credit risk; credit derivatives; factor modeling; copula;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2009-10-17 (Financial Markets)
- NEP-RMG-2009-10-17 (Risk Management)
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