On break-even correlation: the way to price structured credit derivatives by replication

DOI10.1080/14697688.2013.812233zbMath1398.91585arXiv1204.2251OpenAlexW2096511611MaRDI QIDQ4683100

Jean-David Fermanian, Olivier Vigneron

Publication date: 19 September 2018

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

Full work available at URL: https://arxiv.org/abs/1204.2251

zbMATH Keywords

Gaussian copuladynamic hedgingcollateralized debt obligationstructural Merton models

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) Credit risk (91G40)

Related Items (1)

Conditional Default Probability and Density

Cites Work

• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Hedging default risks of CDOs in Markovian contagion models
• Pricing CDOs with state-dependent stochastic recovery rates
• Dynamic Hedging of Portfolio Credit Derivatives
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• Credit risk: Modelling, valuation and hedging

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