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Frankfurt School of Finance and Management, Frankfurt a. M. >
CPQF Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/40172
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schmidt, Wolfgang M. | | en_US |
| dc.date.accessioned | | 2010-09-09 | | en_US |
| dc.date.accessioned | | 2010-09-24T09:03:51Z | | - |
| dc.date.available | | 2010-09-24T09:03:51Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/40172 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Frankfurt School of Finance & Management Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | CPQF Working Paper Series 7 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | credit default swap | | en_US |
| dc.subject.keyword | | credit basket | | en_US |
| dc.subject.keyword | | hedging | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.subject.stw | | Finanzderivat | | en_US |
| dc.subject.stw | | Hedging | | en_US |
| dc.subject.stw | | Kreditversicherung | | en_US |
| dc.subject.stw | | Capital Asset Pricing Model | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Default swaps and hedging credit baskets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 559316844 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:cpqfwp:7 | | - |
| Appears in Collections: | | CPQF Working Paper Series, Frankfurt School of Finance and Management
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