Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
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Date
2011-05Author
Bielecki, T.R.
Cousin, A.
Crépey, A.H.
Herbertsson, Alexander
Keywords
portfolio credit risk
basket credit derivatives
dynamic min-variance hedging
common shocks
Markov Copula model
Publication type
report
ISSN
1403-2465
Series/Report no.
Working Papers in Economics
502
Language
eng