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Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives

Wang, Qian - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003320531

Basis Risk in Hedging a CDS Portfolio with Credit Indices

Chamizo, Alvaro - 2017

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …

Persistent link: https://www.econbiz.de/10012970402

Evaluation of market risk associated with hedging a credit derivative portfolio

Chamizo, Álvaro; Novales, Alfonso - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 411-430

Persistent link: https://www.econbiz.de/10012655516

Derivatives markets and managed money : implications for price discovery

Arburn, Gregory; Harper, Laura - In: The international journal of business and finance … 13 (2019) 1, pp. 53-61

Persistent link: https://www.econbiz.de/10012005806

Hedge fund replication using strategy specific factors

Subhash, Sujit; Enke, David - In: Financial innovation : FIN 5 (2019) 11, pp. 1-19

Hedge funds have traditionally served wealthy individuals and institutional investors with the promise of delivering protection of capital and uncorrelated positive returns irrespective of market direction, allowing them to better manage portfolio risk. However, the financial crisis of 2008 has...

Persistent link: https://www.econbiz.de/10012266580