Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models

DOI10.1016/j.amc.2016.06.049zbMath1410.91466OpenAlexW2485636601MaRDI QIDQ1733754

Liu Wenqiong, Sheng-Hong Li

Publication date: 21 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2016.06.049

zbMATH Keywords

Markov chainhedging strategiesnon-homogeneousCDO tranche

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Hazard rate for credit risk and hedging defaultable contingent claims
• Hedging default risks of CDOs in Markovian contagion models
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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