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Titel:

Pricing and hedging CDO tranches using latent one-factor models: An empirical study

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Höcht, S.; Scherer, M.; Spitaler, P.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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:
;
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