Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
Rüdiger Frey; Jochen Backhaus
| Year of publication: |
2010
|
|---|---|
| Authors: | Frey, Rüdiger ; Backhaus, Jochen |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 34.2010, 4, p. 710-724
|
| Subject: | Hedging | Derivat | Derivative | Kreditmarkt | Credit market | Unvollkommener Markt | Incomplete market | Ansteckungseffekt | Contagion effect | Kreditsicherung | Collateral | Asset-Backed Securities | Asset-backed securities | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | cdo=Collateralized Debt Obligation |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003966525