Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Ramin Okhrati, Nikolaos Karpathopoulos
| Year of publication: |
2021
|
|---|---|
| Authors: | Okhrati, Ramin ; Karpathopoulos, Nikolaos |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 6/7, p. 1-41
|
| Subject: | Defaultable claims | credit risk | FS decomposition | local risk minimization | running infimum process | structural models | reduced form models | hazard rate | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management | CAPM | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500333 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012807897