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Title:Default swaps and hedging credit baskets PDF Logo
Authors:Schmidt, Wolfgang M.
Issue Date:2007
Series/Report no.:CPQF Working Paper Series 7
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.
Subjects:credit default swap
credit basket
hedging
JEL:G13
Document Type:Working Paper
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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