Name
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. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1109/CIFEr.2014.6924106 | CIFEr |
Keywords | Field | DocType |
copula approach,credit transactions,hedging instruments,hedging mechanism,basket credit derivative hedging,basket credit derivative pricing,gaussian processes,pricing,single-name credit default swaps,economic indicators,correlation,mathematical model | Credit derivative,Credit default swap,Economics,Financial economics,iTraxx,Copula (linguistics),Credit default swap index,Economic indicator,Hedge (finance),Swap (finance) | Conference |
ISSN | Citations | PageRank |
2380-8454 | 0 | 0.34 |
References | Authors | |
0 | 4 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Dong-Mei Zhu | 1 | 1 | 1.37 |
| Yue Xie | 2 | 2 | 0.79 |
| Wai-Ki Ching | 3 | 683 | 78.66 |
| Harry Zheng | 4 | 28 | 9.30 |