Analytical methods for hedging systematic credit risk with linear factor portfolios

DOI10.1016/j.jedc.2008.03.010zbMath1170.91417OpenAlexW1982593711MaRDI QIDQ2271605

David Saunders, Dan Rosen

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.03.010

zbMATH Keywords

hedgingcredit riskfactor modelscapital allocation

Mathematics Subject Classification ID

Related Items (5)

On measuring nonlinear risk with scarce observations ⋮ Asymptotic formulae for implied volatility in the Heston model ⋮ Credit risk and asymmetric information: a simplified approach ⋮ Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors ⋮ Dynamic hedging of synthetic CDO tranches with spread risk and default contagion

Uses Software

• CreditRisk+

Cites Work

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