Evaluation of market risk associated with hedging a credit derivative portfolio-Reference-Cited by-同舟云学术

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Evaluation of market risk associated with hedging a credit derivative portfolio

Published:2021-05 Issue: Volume:80 Page:411-430
ISSN:1062-9769
Container-title:The Quarterly Review of Economics and Finance
language:en
Short-container-title:The Quarterly Review of Economics and Finance

Author:

Chamizo Álvaro^ORCID,Novales Alfonso

Funder

Banco de Espana

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. The credit default swap market: What a difference a decade makes;Aldasoro;BIS Quarterly Review,2018

2. Hedging structured credit products during the credit crisis: A horse race of 10 models;Ascheberg;Journal of Banking & Finance,2013

3. Multivariate garch models: A survey;Bauwens;Journal of Applied Econometrics,2006

4. Studies on credit risk concentration;BCBS,2006

5. Basel III: A global regulatory framework for more resilient banks and banking systems;BCBS,2011

Cited by 1 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. Optimizing market risk evaluation of small and medium sized enterprises through hamacher interactive power geometric technique under uncertainty;Journal of Intelligent & Fuzzy Systems;2024-04-18

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