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- Bielecki, Tomasz R. (author)
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
- Article/chapterEnglish2014
Publisher, publication year, extent ...
- 2013-05-15
- Springer Science and Business Media LLC,2014
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- LIBRIS-ID:oai:gup.ub.gu.se/197143
- https://gup.ub.gu.se/publication/197143URI
- https://doi.org/10.1007/s10957-013-0318-4DOI
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- Language:English
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- We devise a bottom-up dynamic model of portfolio credit risk where instantaneous contagion is represented by the possibility of simultaneous defaults. Due to a Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately using a two-step procedure, much like in a standard static copula setup. In this sense this solves the bottom-up top-down puzzle which the CDO industry had been trying to do for a long time. This model can be used for any dynamic portfolio credit risk issue, such as dynamic hedging of CDOs by CDSs, or CVA computations on credit portfolios.
Subject headings and genre
- SAMHÄLLSVETENSKAP Ekonomi och näringsliv hsv//swe
- SOCIAL SCIENCES Economics and Business hsv//eng
- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- NATURVETENSKAP Matematik Beräkningsmatematik hsv//swe
- NATURAL SCIENCES Mathematics Computational Mathematics hsv//eng
- Portfolio credit risk
- Credit derivatives
- Markov copula model
- Common shocks Dynamic hedging
Added entries (persons, corporate bodies, meetings, titles ...)
- Cousin, Areski (author)
- Crépey, Stéphane (author)
- Herbertsson, Alexander,1977Gothenburg University,Göteborgs universitet,Institutionen för nationalekonomi med statistik,Department of Economics(Swepub:gu)xheral (author)
- Göteborgs universitetInstitutionen för nationalekonomi med statistik (creator_code:org_t)
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- In:Journal of Optimization Theory and Applications: Springer Science and Business Media LLC161:1, s. 90-1020022-32391573-2878
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