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Berd, Arthur M.; Kapoor, Vivek - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 66-76

Persistent link: https://www.econbiz.de/10001770081

Petrelli, Andrea; Zhang, Jun; Federico, Santa; Kapoor, Vivek - In: Credit derivative strategies : new thinking on managing …, (pp. 33-64). 2007

Persistent link: https://www.econbiz.de/10003547033

Risk management of credit derivatives

Federico, Santa; Petrelli, Andrea; Zhang, Jun; Kapoor, Vivek - In: Credit derivative strategies : new thinking on managing …, (pp. 93-114). 2007

Persistent link: https://www.econbiz.de/10003547042

CDS valuation

Federico, Santa; Petrelli, Andrea; Zhang, Jun; Kapoor, Vivek - In: Credit derivative strategies : new thinking on managing …, (pp. 161-165). 2007

Persistent link: https://www.econbiz.de/10003547052

CDO valuation

Federico, Santa; Petrelli, Andrea; Zhang, Jun; Kapoor, Vivek - In: Credit derivative strategies : new thinking on managing …, (pp. 167-173). 2007

Persistent link: https://www.econbiz.de/10003547054

A practical guide to CDO trading risk management

Petrelli, Andrea; Zhang, Jun; Jobst, Nobert; Kapoor, Vivek - In: The handbook of structured finance, (pp. 339-372). 2007

Persistent link: https://www.econbiz.de/10003727149

Irreducible Risks of Hedging a Bond with a Default Swap

Kapoor, Vivek - 2019

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap (CDS) by quantifying the variance of the hedging errors and determining the optimal hedge ratio. The static hedging framework uses bond recovery and time to default, which are...

Persistent link: https://www.econbiz.de/10012868327