Default swaps and hedging credit baskets

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS) based on a model for the joint dynamics of the fair CDS spreads. In the situation of the market flow of information being a pure jump filtration, we present an extremely efficient approach to pricing and study explicit hedging strategies.

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Year of publication:	2007
Authors:	Schmidt, Wolfgang M.
Publisher:	Frankfurt a. M. : Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Subject:	Kreditrisiko \| Finanzderivat \| Hedging \| Kreditversicherung \| Capital Asset Pricing Model \| Theorie \| credit default swap \| credit basket \| hedging

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Series:	CPQF Working Paper Series ; 7
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	829988971 [GVK] hdl:10419/40172 [Handle] RePEc:zbw:cpqfwp:7 [RePEc]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010301700