CUTTING EDGE - Credit derivatives - Pricing and hedging basket credit derivatives in the Gaussian copula - The static assumptions of the Gaussian copula model have long presented an obstacle to dynamic hedging of credit portfolio tranches. Here, the authors combine the copula with a spread diffusion to derive hedging error as proportional to the gamma times the difference between implied and ...
| Year of publication: |
2010
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|---|---|
| Authors: | Piterbarg, Vladimir |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 2, p. 92-97
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