How correlation risk in basket credit derivatives might be priced and managed?
Dong-Mei Zhu, Jia-wen Gu, Feng-Hui Yu, Wai-Ki Ching, Tak-Kuen Siu
| Year of publication: |
2021
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|---|---|
| Authors: | Zhu, Dong-Mei ; Gu, Jia-wen ; Yu, Feng-Hui ; Ching, Wai Ki ; Siu, Tak Kuen |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 32.2021, 2, p. 195-219
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| Subject: | edging | pricing | Gaussian copula models | basket credit default swaps | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Korrelation | Correlation | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpaa013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012434401