Hedging default risks of CDOs in Markovian contagion models

DOI10.1080/14697680903390126zbMath1277.91187OpenAlexW2081806266MaRDI QIDQ2866390

Areski Cousin, Jean-David Fermanian, Jean-Paul Laurent

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903390126

zbMATH Keywords

actuarial scienceasset managementdefaultable securitiescorrelation modelling

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (12)

Pricing and trading credit default swaps in a hazard process model ⋮ From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ A Multivariate Default Model with Spread and Event Risk ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ A mathematical treatment of bank monitoring incentives ⋮ HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH ⋮ Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models ⋮ Dynamic hedging of synthetic CDO tranches with spread risk and default contagion ⋮ An extension of Davis and Lo's contagion model ⋮ On break-even correlation: the way to price structured credit derivatives by replication ⋮ The static hedging of CDO tranche correlation risk ⋮ A set-valued Markov chain approach to credit default

Cites Work

• Hazard rate for credit risk and hedging defaultable contingent claims
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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