Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
Samlingar
Fil(er)
Datum
2011-05Författare
Bielecki, T.R.
Cousin, A.
Crépey, A.H.
Herbertsson, Alexander
Nyckelord
portfolio credit risk
basket credit derivatives
dynamic min-variance hedging
common shocks
Markov Copula model
Publikationstyp
report
ISSN
1403-2465
Serie/rapportnr.
Working Papers in Economics
502
Språk
eng