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~person:"Bielecki, Tomasz R."
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Basket Credit Derivatives
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Dynamic Min-Variance Hedging
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Bielecki, Tomasz R.
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Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with
Common
Shocks
)
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
-
Nationalekonomiska institutionen, Handelshögskolan
-
2011
copula set-up. In addition, the model admits a
common
shocks
interpretation, which is a very important feature as, thanks to …
Persistent link: https://www.econbiz.de/10011019100
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