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Document type:
Zeitschriftenaufsatz 
Author(s):
Höcht, S.; Scherer, M.; Spitaler, P. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Pricing and hedging CDO tranches using latent one-factor models: An empirical study 
Abstract:
Several latent one-factor portfolio default models are compared regarding their hedging and pricing abilities. Besides many well-known models (Gauss-copula, Archimedean copula, Lévy one-factor model, etc.), a new extension using stochastic correlation is presented. Various delta-hedging approaches are discussed, including hedges against CDS-spread risk, correlation risk, as well as risk that is induced by model parameters. The empirical investigation of the models' hedging and pricing capability...    »
 
Keywords:
Hedging CDO tranches, pricing CDO tranches, stochastic correlation 
Intellectual Contribution:
Contribution to Practice 
Journal title:
The Capco Institute Journal of Financial Transformation 
Year:
2014 
Journal volume:
40 
Pages contribution:
49-64 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 02 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Mission statement:
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