Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model

dc.contributor.author	Bielecki, T.R.
dc.contributor.author	Cousin, A.
dc.contributor.author	Crépey, A.H.
dc.contributor.author	Herbertsson, Alexander
dc.date.accessioned	2011-05-13T11:30:59Z
dc.date.available	2011-05-13T11:30:59Z
dc.date.issued	2011-05
dc.identifier.issn	1403-2465
dc.identifier.uri	http://hdl.handle.net/2077/25503
dc.language.iso	eng	sv
dc.relation.ispartofseries	Working Papers in Economics	sv
dc.relation.ispartofseries	502	sv
dc.subject	portfolio credit risk	sv
dc.subject	basket credit derivatives	sv
dc.subject	dynamic min-variance hedging	sv
dc.subject	common shocks	sv
dc.subject	Markov Copula model	sv
dc.title	Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model	sv
dc.type	Text	sv
dc.type.svep	report	sv