Hedging tranches index products : illustration of model dependency

In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk are analysed through the study of the efficiency of several factor based copula models, like the Gaussian, the double-t and the double NIG using implied correlation and a particular NIG one factor model, using historical data in terms of hedging capabilities.

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Year of publication:	2006
Authors:	Guegan, Dominique ; Houdain, Julien
Institutions:	HAL
Subject:	CDO \| Factor models \| NIG distribution

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179325 Published, The Icfai Journal of derivatives markets, 2006, 4, 39 - 61
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750784