HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH

DOI10.1142/S0219024918500577zbMath1411.91574OpenAlexW2898118732WikidataQ129032378 ScholiaQ129032378MaRDI QIDQ4631691

Wenqiong Liu, Wen-li Huang

Publication date: 18 April 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500577

zbMATH Keywords

default riskhedgecombined forecastingspread riskCDO tranches

Mathematics Subject Classification ID

Theory of fuzzy sets, etc. (03E72) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

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• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES

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