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http://hdl.handle.net/10419/40172
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| Title: | | Default swaps and hedging credit baskets  |
| 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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