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| Identificatore numerico | 1849 |
| Identificatore completo | ArvanitisLaurent99 |
| Autore/i | Arvanitis, A.; Laurent, J. |
| Anno | 1999 |
| Titolo | On the Edge of Completeness. |
| Tipo di Pubblicazione | articolo |
| Altre Informazioni | in Risk, vol. 12, nr. 10, October, pagg. 61-65. |
| Keywords | |
| Abstract | The profit and loss of a book of credit contingent contracts shuld be hedged both against defaults and the volatility of the default swap premiums. Angelo Arvanitis and Jean-Paul Laurent present a hedging strategy where the main emphasis is placed on reducing the possibility of big losses at default time, The edge is not pefect, but it allows a substantial reduction of risk, |
| Importanza | media |
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