Default swaps and hedging credit baskets
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. --
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Bibliographic InfoPaper provided by Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) in its series CPQF Working Paper Series with number 7.
Date of creation: 2007
Date of revision:
credit default swap; credit basket; hedging;
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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