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Conference Paper: On Pricing and Hedging Basket Credit Derivatives with Dependent Structure

TitleOn Pricing and Hedging Basket Credit Derivatives with Dependent Structure
Authors
Zhu, DXie, YChing, WKZheng, H
Issue Date2014
PublisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1000115
Citation
The IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr), London, UK, 27-28 March 2014. In the Proceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering and Economics (CIFEr), 2014, p. 435--440 How to Cite?
DOI: http://dx.doi.org/10.1109/CIFEr.2014.6924106
AbstractIn 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.
Persistent Identifierhttp://hdl.handle.net/10722/207341
ISBN
9781479923809

 

DC FieldValueLanguage
dc.contributor.authorZhu, Den_US
dc.contributor.authorXie, Yen_US
dc.contributor.authorChing, WKen_US
dc.contributor.authorZheng, Hen_US
dc.date.accessioned2014-12-19T10:52:17Z-
dc.date.available2014-12-19T10:52:17Z-
dc.date.issued2014en_US
dc.identifier.citationThe IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr), London, UK, 27-28 March 2014. In the Proceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering and Economics (CIFEr), 2014, p. 435--440en_US
dc.identifier.isbn9781479923809-
dc.identifier.urihttp://hdl.handle.net/10722/207341-
dc.description.abstractIn 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.-
dc.languageengen_US
dc.publisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1000115-
dc.relation.ispartofProceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering and Economics (CIFEr)en_US
dc.titleOn Pricing and Hedging Basket Credit Derivatives with Dependent Structureen_US
dc.typeConference_Paperen_US
dc.identifier.emailChing, WK: wching@hku.hken_US
dc.identifier.authorityChing, WK=rp00679en_US
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1109/CIFEr.2014.6924106-
dc.identifier.scopuseid_2-s2.0-84908125903-
dc.identifier.hkuros241890en_US
dc.identifier.spage435en_US
dc.publisher.placeUnited States-

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