Hedging default risks of CDOs in Markovian contagion models
type: Item
instance of: scholarly article
title: Hedging default risks of CDOs in Markovian contagion models
zbMATH Open document ID: 1277.91187
DOI: 10.1080/14697680903390126
author: Jean-Paul Laurent
author: Areski Cousin
author: Jean-David Fermanian
published in: Quantitative Finance
publication date: 2013-12-13T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6238231
zbMATH Keywords: actuarial science
zbMATH Keywords: asset management
zbMATH Keywords: defaultable securities
zbMATH Keywords: correlation modelling
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697680903390126
OpenAlex ID: W2081806266
cites work: Hazard rate for credit risk and hedging defaultable contingent claims
cites work: JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS
cites work: PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
cites work: Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
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description: scientific article; zbMATH DE number 6238231