Hedging structured credit products during the credit crisis : a horse race of 10 models
Marius Ascheberg; Björn Bick; Holger Kraft
| Year of publication: |
2013
|
|---|---|
| Authors: | Ascheberg, Marius ; Bick, Björn ; Kraft, Holger |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 5, p. 1687-1705
|
| Subject: | Structured products | P&L analysis | Hedging | Bottom-up models | Top-down models | Copulas | Self-exciting models | Finanzkrise | Financial crisis | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Kapitalmarkttheorie | Financial economics | Multivariate Verteilung | Multivariate distribution | Statistischer Test | Statistical test | Derivat | Derivative | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009729477