Delta-hedging correlation risk?
Year of publication: |
2012
|
---|---|
Authors: | Cousin, Areski ; Crépey, Stéphane ; Kan, Yu |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 15.2012, 1, p. 25-56
|
Publisher: |
Springer |
Subject: | Credit risk | CDO | Hedging | Delta | Gaussian copula | Local intensity | Backtesting |
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