Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Wen-Qiong Liu, Wen-Li Huang
| Year of publication: |
2019
|
|---|---|
| Authors: | Liu, Wen-Qiong ; Huang, Wen-Li |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 2, p. 1-17
|
| Subject: | CDO tranches | hedge | spread risk | default risk | combined forecasting | Kreditrisiko | Credit risk | Hedging | Derivat | Derivative | Asset-Backed Securities | Asset-backed securities | Theorie | Theory | Prognoseverfahren | Forecasting model | Kreditsicherung | Collateral | Kreditderivat | Credit derivative | Risikomanagement | Risk management | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Kreditmarkt | Credit market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500577 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012012947