Delta-hedging correlation risk?
Areski Cousin; Stéphane Crépey; Yu Hang Kan
| Year of publication: |
2012
|
|---|---|
| Authors: | Cousin, Areski ; Crépey, Stéphane ; Kan, Yu Hang |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 15.2012, 1, p. 25-56
|
| Subject: | Credit risk | CDO | Hedging | Delta | Gaussian copula | Local intensity | Backtesting | Kreditrisiko | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Derivat | Derivative | Risikomanagement | Risk management | Asset-Backed Securities | Asset-backed securities | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Kreditderivat | Credit derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009627434