DocumentCode
120885
Title
On pricing and hedging basket credit derivatives with dependent structure
Author
Dong-Mei Zhu ; Yue Xie ; Wai-Ki Ching ; Zheng, Haomian
Author_Institution
Dept. of Math., Univ. of Hong Kong, Hong Kong, China
fYear
2014
fDate
27-28 March 2014
Firstpage
435
Lastpage
440
Abstract
In this paper, we study the problem of hedging a basket credit derivatives, in particular, we are interested in basket default swaps. For the pricing of credit derivatives, we consider a factor Copula approach. Single-name credit default swaps will be chosen as the hedging instruments. The hedging mechanism is tested using simulated data with a given measure. Numerical results reveal the efficiency of our proposed hedging method.
Keywords
Gaussian processes; credit transactions; pricing; basket credit derivative hedging; basket credit derivative pricing; copula approach; hedging instruments; hedging mechanism; single-name credit default swaps; Correlation; Economic indicators; Instruments; Joints; Mathematical model; Portfolios; Pricing;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2104 IEEE Conference on
Conference_Location
London
Type
conf
DOI
10.1109/CIFEr.2014.6924106
Filename
6924106
Link To Document