Dynamic hedging of portfolio credit risk in a Markov copula model

DOI10.1007/s10957-013-0318-4zbMath1295.91096OpenAlexW2154533193MaRDI QIDQ2247917

Alexander Herbertsson, Areski Cousin, Stéphane Crépey, Tomasz R. Bielecki

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2077/25503

zbMATH Keywords

credit derivativesMarkov copula modeldynamic hedgingportfolio credit riskcommon shocks

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Credit risk (91G40)

Related Items

Counterparty risk and funding: immersion and beyond, The Markov consistency of Archimedean survival processes, Conditional Markov chains: properties, construction and structured dependence, Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk, Portfolio credit risk with predetermined default orders

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