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.
- Language
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Englisch
- Bibliographic citation
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Series: CPQF Working Paper Series ; No. 7
- Classification
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Subject
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credit default swap
credit basket
hedging
Kreditrisiko
Finanzderivat
Hedging
Kreditversicherung
Capital Asset Pricing Model
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Schmidt, Wolfgang M.
- Event
-
Veröffentlichung
- (who)
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Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
- (where)
-
Frankfurt a. M.
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schmidt, Wolfgang M.
- Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Time of origin
- 2007
Other Objects (12)
Default swaps and hedging credit baskets
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A value at risk analysis of credit default swaps
Dynamic credit default swaps curves in a network topology
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Default swaps and hedging credit baskets
Bewertung von Kreditprodukten und Credit Default Swaps
Credit default swaps and corporate cash holdings
Valuation of credit default swaps via Bessel bridges
Are credit default swaps associated with higher corporate defaults?
A value at risk analysis of credit default swaps
Dynamic credit default swaps curves in a network topology
Internal governance and creditor governance: Evidence from credit default swaps
Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market
Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
Essays on credit default swaps
Default swaps and hedging credit baskets
Bewertung von Kreditprodukten und Credit Default Swaps
Credit default swaps and corporate cash holdings
Valuation of credit default swaps via Bessel bridges
Are credit default swaps associated with higher corporate defaults?
A value at risk analysis of credit default swaps
Dynamic credit default swaps curves in a network topology
Internal governance and creditor governance: Evidence from credit default swaps
Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market
Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps