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Anna Schlösser ()
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Anna Schlösser: Hedging and Derivatives Strategies

Chapter Chapter 10 in Pricing and Risk Management of Synthetic CDOs, 2011, pp 253-256 from Springer

Abstract: Abstract With the start of the explosive growth of the CDO market in the beginning of the 2000, pricing of various CDO structures became a very popular research subject. The world academic community introduced a variety of approaches for modeling a portfolio of credit instruments. In this thesis we are going to consider one spe- cial type of models.

Keywords: Regime Switching; Default Probability; Credit Spread; Copula Model; Short Interest (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-15609-0_10

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DOI: 10.1007/978-3-642-15609-0_10

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