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Delta-hedging correlation risk?

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Listed:
  • Areski Cousin
  • Stéphane Crépey
  • Yu Kan

Abstract

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Suggested Citation

  • Areski Cousin & Stéphane Crépey & Yu Kan, 2012. "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, vol. 15(1), pages 25-56, April.
    • Handle: RePEc:kap:revdev:v:15:y:2012:i:1:p:25-56
    DOI: 10.1007/s11147-011-9068-3
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    References listed on IDEAS

    as
    1. Rama Cont & Yu Hang Kan, 2011. "Dynamic hedging of portfolio credit derivatives," Post-Print hal-00578008, HAL.
    2. Frey, Rüdiger & Backhaus, Jochen, 2010. "Dynamic hedging of synthetic CDO tranches with spread risk and default contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 710-724, April.
    3. Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
    4. Areski Cousin & Jean-Paul Laurent, 2008. "Comparison results for exchangeable credit risk portfolios," Post-Print hal-03676451, HAL.
    5. Rüdiger Frey & Jochen Backhaus, 2008. "Pricing And Hedging Of Portfolio Credit Derivatives With Interacting Default Intensities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 611-634.
    6. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Credit risk; CDO; Hedging; Delta; Gaussian copula; Local intensity; Backtesting; G13;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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