英文标题：
《Risk-Minimizing Hedging of Counterparty Risk》
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作者：
Lijun Bo, Agostino Capponi, and Claudia Ceci
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最新提交年份：
2017
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英文摘要：
  We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after the occurrence of credit events. Using the Galtchouk-Kunita-Watanabe decomposition of the counterparty risk price payment stream, we recover a closed-form representation for the risk minimizing strategy in terms of classical solutions to nonlinear recursive systems of Cauchy problems. We discuss applications of our framework to the most prominent class of credit derivatives, including credit swap and risky bond portfolios, as well as first-to-default claims.
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中文摘要：
我们研究了信用衍生产品组合中交易对手风险的动态对冲。我们的经验驱动的信贷模型由相互作用的违约强度组成，这些违约强度在信贷事件发生后上升，然后下降。利用交易对手风险价格支付流的Galtchouk Kunita Watanabe分解，我们根据Cauchy问题非线性递归系统的经典解，恢复了风险最小化策略的闭合形式表示。我们将讨论我们的框架在最重要的信用衍生品类别中的应用，包括信用掉期和风险债券组合，以及首次违约债权。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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