Portfolio Safeguard Case Studies

Michael Zabarankin and Stan Uryasev
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Michael Zabarankin: Stevens Institute of Technology
Stan Uryasev: University of Florida

Chapter Chapter 9 in Statistical Decision Problems, 2014, pp 133-240 from Springer

Abstract: Abstract This case study designs a portfolio of credit default swaps (CDS) and credit indices to hedge against changes in a collateralized debt obligation (CDO) book. The hedging problem is to minimize risk of portfolio losses subject to budget and cardinality constraints on hedge positions.

Keywords: Credit Default Swaps (CDS); Collateralized Debt Obligations (CDO); Drawdown Constraint; Multiple Sample Paths; Average Drawdown (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4614-8471-4_9

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DOI: 10.1007/978-1-4614-8471-4_9

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