Hedging structured credit products during the credit crisis: A horse race of 10 models-Reference-Cited by-同舟云学术

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Hedging structured credit products during the credit crisis: A horse race of 10 models

Published:2013-05 Issue:5 Volume:37 Page:1687-1705
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Ascheberg Marius,Bick Björn,Kraft Holger

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference32 articles.

1. Ammann, M., Brommundt, B., 2009. Hedging Collateralized Debt Obligations. Working Paper, University of St. Gallen.

2. Extensions to the Gaussian copula: random recovery and random factor loadings;Andersen;Journal of Credit Risk,2004

3. All your hedges in one basket;Andersen;Risk,2003

4. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

5. Calibration of CDO tranches with the dynamical generalized-Poisson loss model;Brigo;Risk,2006

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Evaluation of market risk associated with hedging a credit derivative portfolio;The Quarterly Review of Economics and Finance;2021-05

2. Model risk of contingent claims;Quantitative Finance;2016-03-31

3. Estimating Risk with Copulas;Encyclopedia of Business Analytics and Optimization;2014

4. Copula-Based Multivariate Time Series Models;Encyclopedia of Business Analytics and Optimization;2014

5. Measuring the Model Risk of Contingent Claims;SSRN Electronic Journal;2013

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