Frey, Rüdiger; Backhaus, Jochen - In: Journal of Economic Dynamics and Control 34 (2010) 4, pp. 710-724
The paper is concerned with the hedging of credit derivatives, in particular synthetic CDO tranches, in a dynamic portfolio credit risk model with spread risk and default contagion. The model is constructed and studied via Markov-chain techniques. We discuss the immunization of a CDO tranche...