Default swaps and hedging credit baskets

Wolfgang M. Schmidt

No 7, CPQF Working Paper Series from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF)

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.

Keywords: credit default swap; credit basket; hedging (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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