Dynamic hedging of portfolio credit risk in a Markov copula model
type: Item
instance of: scholarly article
title: Dynamic hedging of portfolio credit risk in a Markov copula model
zbMATH Open document ID: 1295.91096
author: Areski Cousin
author: Stéphane Crépey
author: Alexander Herbertsson
author: Tomasz R. Bielecki
published in: Journal of Optimization Theory and Applications
publication date: 2014-06-30T00:00:00Z
full work available at URL: http://hdl.handle.net/2077/25503
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6309793
zbMATH Keywords: portfolio credit risk
zbMATH Keywords: credit derivatives
zbMATH Keywords: Markov copula model
zbMATH Keywords: common shocks
zbMATH Keywords: dynamic hedging
MaRDI profile type: Publication
OpenAlex ID: W2154533193
cites work: A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective
cites work: A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues
cites work: A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
cites work: Up and down credit risk
cites work: VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
cites work: Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
cites work: PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
cites work: CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
cites work: Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
cites work: A Multivariate Exponential Distribution
cites work: INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
DOI: 10.1007/S10957-013-0318-4
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description: scientific article