Pricing and hedging of cdo-squared tranches by using a one factor lévy model

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 5, 2009, Pages 663-685

  Guillaume, Florence ^a   Jacobs, Philippe ^b   Schoutens, Wim ^a  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b KBC GROUP   (Belgium)

Author keywords

CDOs squared; Collateralized debt obligations; Copula; Correlation; Credit risk; Hedging

Indexed keywords

EID: 70349661583     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005397     Document Type: Article

References (20)

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