IDEAS home Printed from https://ideas.repec.org/a/eme/jdqspp/jdqs-06-2024-0019.html
   My bibliography  Save this article

Partial hedging in credit markets with structured derivatives: a quantitative approach using put options

Author

Listed:
  • Constantin Siggelkow

Abstract

Keywords: Credit risk management, Equity derivatives, Partial hedging strategies, SCR reduction, Distance to default, Connection of debt and equity

Suggested Citation

  • Constantin Siggelkow, 2024. "Partial hedging in credit markets with structured derivatives: a quantitative approach using put options," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, vol. 32(4), pages 286-322, October.
    • Handle: RePEc:eme:jdqspp:jdqs-06-2024-0019
    DOI: 10.1108/JDQS-06-2024-0019
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/JDQS-06-2024-0019/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no
    File URL: https://www.emerald.com/insight/content/doi/10.1108/JDQS-06-2024-0019/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no
    File URL: https://libkey.io/10.1108/JDQS-06-2024-0019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jdqspp:jdqs-06-2024-0019. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.