TY  - RPRT
AU  - Chamizo Cana, Álvaro
AU  - Novales Cinca, Alfonso Santiago
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17515
AB  - Hedging a credit portfolio using single name CDS is affected by high spread volatility that induces continuous changes in a portfolio mark to market, which is a nuisance. Often, the problem is that CDS on firms in the portfolio are not being traded....
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Market Risk
KW  - CDS
KW  - Credit Indices
KW  - Credit Hedge
KW  - Asset Allocation
KW  - Systemic Risk.
TI  - Market risk when hedging a global credit portfolio
TY  - technical report
VL  - 2019
ER  -