@techreport{Schmidt2007Default,
abstract = {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.},
address = {Frankfurt, M.},
author = {Wolfgang M. Schmidt},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G13; 330; credit default swap; credit basket; hedging; Kreditrisiko; Finanzderivat; Hedging; Kreditversicherung; Capital Asset Pricing Model; Theorie},
language = {eng},
number = {7},
publisher = {Frankfurt School of Finance & Management},
title = {Default swaps and hedging credit baskets},
type = {CPQF Working Paper Series},
url = {http://hdl.handle.net/10419/40172},
year = {2007}
}
