The static hedging of CDO tranche correlation risk

DOI10.1080/00207160802444011zbMath1163.91426OpenAlexW2113265803MaRDI QIDQ3636731

Michael B. Walker

Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802444011

zbMATH Keywords

hedgingcorrelation riskCDOs

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL

Cites Work

• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Hedging default risks of CDOs in Markovian contagion models
• Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
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