A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues
Year of publication: |
2014
|
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Authors: | Bielecki, Tomasz R. ; Cousin, Areski ; Crépey, Stéphane ; Herbertsson, Alexander |
Published in: |
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012. - Singapore [u.a.] : World Scientific Publ., ISBN 981-4571-63-6. - 2014, p. 51-73
|
Subject: | Kreditrisiko | Credit risk | Hedging | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
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