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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Höcht, S.; Scherer, M.; Spitaler, P. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
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...    »
 
Stichworte:
Hedging CDO tranches, pricing CDO tranches, stochastic correlation 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
The Capco Institute Journal of Financial Transformation 
Jahr:
2014 
Band / Volume:
40 
Seitenangaben Beitrag:
49-64 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 02 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Leitbild: