Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CPQF Working Paper Series ; No. 7
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
credit default swap
credit basket
hedging
Kreditrisiko
Finanzderivat
Hedging
Kreditversicherung
Capital Asset Pricing Model
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schmidt, Wolfgang M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Schmidt, Wolfgang M.
- Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Entstanden
- 2007
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