Default swaps and hedging credit baskets

Wolfgang M. Schmidt

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, M. : Frankfurt School of Finance & Management
Subject:	credit default swap \| credit basket \| hedging \| Kreditrisiko \| Credit risk \| Derivat \| Derivative \| Hedging \| Kreditversicherung \| Credit insurance \| CAPM \| Theorie \| Theory

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Extent:	Online-Ressource (23 S.) graph. Darst.
Series:	Working paper series / Centre for Practical Quantitative Finance. - Frankfurt, Main : Frankfurt School of Finance & Management, ZDB-ID 2490795-9. - Vol. 7
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: PDF-Reader
Other identifiers:	hdl:10419/40172 [Handle]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011293931