Narrow search
Showing 1 - 5 of 5
Cover Image
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Bielecki, Tomasz R. - 2013
In "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model", the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in "A...
Persistent link: https://www.econbiz.de/10013089953
Cover Image
Hedging issues for CDOs
Cousin, Areski; Laurent, Jean-Paul - In: The definitive guide to CDOs : market, application, …, (pp. 461-480). 2008
Persistent link: https://www.econbiz.de/10003918855
Cover Image
An overview of factor modeling for CDO pricing
Laurent, Jean-Paul; Cousin, Areski - In: Frontiers in quantitative finance : volatility and …, (pp. 185-216). 2009
Persistent link: https://www.econbiz.de/10003787603
Cover Image
Delta-hedging correlation risk?
Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56
Persistent link: https://www.econbiz.de/10009627434
Cover Image
A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.; Cousin, Areski; Crépy, Stéphane; … - 2012
Persistent link: https://www.econbiz.de/10009630172