Dynamic hedging of synthetic CDO tranches with spread risk and default contagion

被引：19

作者：

Frey, Ruediger ^{[1
]}

Backhaus, Jochen ^{[1
]}

机构：

[1] Univ Leipzig, Dept Math, D-04009 Leipzig, Germany

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2010年 / 34卷 / 04期

基金：

奥地利科学基金会;

关键词：

Dynamic hedging; Portfolio credit risk; Credit derivatives; Incomplete markets; Default contagion;

D O I：

10.1016/j.jedc.2009.10.013

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper is concerned with the hedging of credit derivatives, in particular synthetic CDO tranches, in a dynamic portfolio credit risk model with spread risk and default contagion. The model is constructed and studied via Markov-chain techniques. We discuss the immunization of a CDO tranche against spread- and event risk in the Markov-chain model and compare the results with market-standard hedge ratios obtained in a Gauss copula model. In the main part of the paper we derive model-based dynamic hedging strategies and study their properties in numerical experiments. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：710 / 724

页数：15

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