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dc.contributor.authorSchmidt, Wolfgang M.en_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:03:51Z-
dc.date.available2010-09-24T09:03:51Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/40172-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 7en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordcredit default swapen_US
dc.subject.keywordcredit basketen_US
dc.subject.keywordhedgingen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwFinanzderivaten_US
dc.subject.stwHedgingen_US
dc.subject.stwKreditversicherungen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwTheorieen_US
dc.titleDefault swaps and hedging credit basketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn559316844en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:7-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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