Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice-Reference-Cited by-同舟云学术

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Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice

Published:2012-09-07 Issue: Volume: Page:149-184
ISSN:
Container-title:Credit Risk Frontiers
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Author:

Cousin Areski,Laurent Jean-Paul

Publisher

John Wiley & Sons, Inc.

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/9781118531839.ch6/fullpdf

Reference72 articles.

1. Ammann , M. B. Brommundt 2009 Hedging collateralized debt obligations. Working paper, University of St. Gallen

2. Amraoui , S. L. Cousot S. Hitier J.-P. Laurent 2009 Pricing CDOs with state dependent stochastic recovery rates. Working paper, ISFA Actuarial School, University of Lyon and BNP Paribas

3. Extensions to the Gaussian copula: Random recovery and random factor loadings;Andersen;Journal of Credit Risk,2005

4. Andersen , L. J. Sidenius S. Basu 2003 All your hedges in one basket. Risk (November): 67 72

5. Arnsdorf , M. I. Halperin 2007 BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives. Working paper, JP Morgan

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