Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40172
Authors: 
Schmidt, Wolfgang M.
Year of Publication: 
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

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