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Pricing and hedging of structured credit derivatives

Hellmich, Martin; Steinkamp, Oliver - In: CreditRisk+ in the banking industry, (pp. 325-362). 2004

Persistent link: https://www.econbiz.de/10002108709

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

Documentation risk in credit default swaps : when is a hedge not a hedge?

Griffiths, Mark; Drake, Philip - In: Journal of risk management in financial institutions 3 (2009/10) 1, pp. 46-56

Persistent link: https://www.econbiz.de/10003939674

Hedging credit derivatives when recovery rates are stochastic

Kroemer, Patrick - 2015

Persistent link: https://www.econbiz.de/10011348594

Modeling issuer default risk in basket default swaps : the impact of default correlation

Wu, Po-cheng - In: The journal of risk model validation 6 (2012) 3, pp. 67-82

Persistent link: https://www.econbiz.de/10009658573

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434

Hedging stock sector risk with credit default swaps

Ratner, Mitchell; Chiu, Chih-Chieh - In: International review of financial analysis 30 (2013), pp. 18-25

Persistent link: https://www.econbiz.de/10010460003

Valuation and hedging of CDS counterparty exposure in a Markov copula model

Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10009562148

Corporate hedging and speculative incentives : implications for swap market default risk

Mozumdar, Abon - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 2, pp. 221-250

Persistent link: https://www.econbiz.de/10001626024

Equity and CDS Sector Indices : Dynamic Models and Risk Hedging

Caporin, Massimiliano - 2012

hedging strategies. In this paper, we take the point of view of an equity investor who wants to hedge the equity risk by … analysis is based on sectorial indices and shows the advantages of hedging and the impact of a model specification …

Persistent link: https://www.econbiz.de/10013105775

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