Dynamic hedging of portfolio credit derivatives
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References listed on IDEAS
- Massimo Morini & Damiano Brigo, 2008. "Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis," Papers 0812.4156, arXiv.org.
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- repec:eee:empfin:v:43:y:2017:i:c:p:43-58 is not listed on IDEAS
- Ascheberg, Marius & Bick, Björn & Kraft, Holger, 2013. "Hedging structured credit products during the credit crisis: A horse race of 10 models," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1687-1705.
- Areski Cousin & Stéphane Crépey & Yu Kan, 2012. "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, vol. 15(1), pages 25-56, April.
- Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J., 2017.
"Systematic cojumps, market component portfolios and scheduled macroeconomic announcements,"
Journal of Empirical Finance,
Elsevier, vol. 43(C), pages 43-58.
- Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J., 2017. "Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements," Working Papers 2017-11, Federal Reserve Bank of St. Louis.
- Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 243-259, September.
- Bielecki, Tomasz R. & Cousin, Areski & Crépey, Stéphane & Herbertsson, Alexander, 2011. "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)," Working Papers in Economics 502, University of Gothenburg, Department of Economics, revised 12 Oct 2012.
More about this item
Keywordshedging; credit default swaps; portfolio credit derivatives; index default swaps; collateralized debt obligations; portfolio credit risk models; default contagion; spread risk; sensitivity-based hedging; variance minimization;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-26 (All new papers)
- NEP-BAN-2011-03-26 (Banking)
- NEP-FMK-2011-03-26 (Financial Markets)
- NEP-RMG-2011-03-26 (Risk Management)
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