We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …