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https://hdl.handle.net/10419/40172
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Schmidt, Wolfgang M. | en |
dc.date.accessioned | 2010-09-09 | - |
dc.date.accessioned | 2010-09-24T09:03:51Z | - |
dc.date.available | 2010-09-24T09:03:51Z | - |
dc.date.issued | 2007 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aCPQF Working Paper Series |x7 | en |
dc.subject.jel | G13 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | credit default swap | en |
dc.subject.keyword | credit basket | en |
dc.subject.keyword | hedging | en |
dc.subject.stw | Kreditrisiko | en |
dc.subject.stw | Finanzderivat | en |
dc.subject.stw | Hedging | en |
dc.subject.stw | Kreditversicherung | en |
dc.subject.stw | Capital Asset Pricing Model | en |
dc.subject.stw | Theorie | en |
dc.title | Default swaps and hedging credit baskets | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 829988971 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cpqfwp:7 | en |
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