Dynamic Hedging of Counterparty Exposure

DOI10.1007/978-3-319-02069-3_3zbMath1418.91563OpenAlexW1907917706MaRDI QIDQ4561926

Tomasz R. Bielecki, Stéphane Crépey

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_3

zbMATH Keywords

hedgingcredit riskcounterparty riskcollateralizationcredit valuation adjustmentMarkov copulaexpected positive exposurejoint defaults

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Calculation of credit valuation adjustment based on least square Monte Carlo methods

Cites Work

• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Hazard rate for credit risk and hedging defaultable contingent claims
• Pricing and trading credit default swaps in a hazard process model
• The mathematics of arbitrage
• Study of Dependence for Some Stochastic Processes
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• Credit risk: Modelling, valuation and hedging

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