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dc.contributor.authorSchmidt, Wolfgang M.en
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:03:51Z-
dc.date.available2010-09-24T09:03:51Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x7en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordcredit default swapen
dc.subject.keywordcredit basketen
dc.subject.keywordhedgingen
dc.subject.stwKreditrisikoen
dc.subject.stwFinanzderivaten
dc.subject.stwHedgingen
dc.subject.stwKreditversicherungen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwTheorieen
dc.titleDefault swaps and hedging credit baskets-
dc.typeWorking Paperen
dc.identifier.ppn829988971en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:7en

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