Hedging tranches index products : illustration of model dependency - HAL-SHS - Sciences de l'Homme et de la Société
Article Dans Une Revue The Icfai Journal of derivatives markets Année : 2006

Hedging tranches index products : illustration of model dependency

Résumé

In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk are analysed through the study of the efficiency of several factor based copula models, like the Gaussian, the double-t and the double NIG using implied correlation and a particular NIG one factor model, using historical data in terms of hedging capabilities.
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Dates et versions

halshs-00179325 , version 1 (23-10-2007)

Identifiants

  • HAL Id : halshs-00179325 , version 1

Citer

Dominique Guegan, Julien Houdain. Hedging tranches index products : illustration of model dependency. The Icfai Journal of derivatives markets, 2006, 4, pp.39 - 61. ⟨halshs-00179325⟩
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