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Bielecki et al., 2010 - Google Patents

Up and down credit risk

Bielecki et al., 2010

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Document ID
16889114040180389040
Author
Bielecki T
Crépey S
Jeanblanc M
Publication year
Publication venue
Quantitative Finance

External Links

Snippet

This paper discusses the main modeling approaches that have been developed for handling portfolio credit derivatives, with a focus on the question of hedging. In particular, the so- called top, top down and bottom up approaches are considered. We give some …
Continue reading at math.maths.univ-evry.fr (PDF) (other versions)

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