Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model

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dc.contributor.authorBielecki, T.R.
dc.contributor.authorCousin, A.
dc.contributor.authorCrépey, A.H.
dc.contributor.authorHerbertsson, Alexander
dc.date.accessioned2011-05-13T11:30:59Z
dc.date.available2011-05-13T11:30:59Z
dc.date.issued2011-05
dc.identifier.issn1403-2465
dc.identifier.urihttp://hdl.handle.net/2077/25503
dc.language.isoengsv
dc.relation.ispartofseriesWorking Papers in Economicssv
dc.relation.ispartofseries502sv
dc.subjectportfolio credit risksv
dc.subjectbasket credit derivativessv
dc.subjectdynamic min-variance hedgingsv
dc.subjectcommon shockssv
dc.subjectMarkov Copula modelsv
dc.titleDynamic Hedging of Portfolio Credit Risk in a Markov Copula Modelsv
dc.typeTextsv
dc.type.svepreportsv

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