Analytical methods for hedging systematic credit risk with linear factor portfolios

Journal of Economic Dynamics and Control

Volumn 33, Issue 1, 2009, Pages 37-52

  Rosen, Dan ^a   Saunders, David ^b  

^a FIELDS INSTITUTE   (Canada)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Capital allocation; Credit risk; Factor models; Hedging

Indexed keywords

EID: 56949086432     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2008.03.010     Document Type: Article

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