Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10011569906
In "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model", the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in "A...
Persistent link: https://www.econbiz.de/10013089953
Persistent link: https://www.econbiz.de/10014304378