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- Publisher Website: 10.1109/CIFEr.2014.6924106
- Scopus: eid_2-s2.0-84908125903
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Conference Paper: On Pricing and Hedging Basket Credit Derivatives with Dependent Structure
Title | On Pricing and Hedging Basket Credit Derivatives with Dependent Structure |
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Authors | |
Issue Date | 2014 |
Publisher | I 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? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/207341 |
ISBN |
DC Field | Value | Language |
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dc.contributor.author | Zhu, D | en_US |
dc.contributor.author | Xie, Y | en_US |
dc.contributor.author | Ching, WK | en_US |
dc.contributor.author | Zheng, H | en_US |
dc.date.accessioned | 2014-12-19T10:52:17Z | - |
dc.date.available | 2014-12-19T10:52:17Z | - |
dc.date.issued | 2014 | en_US |
dc.identifier.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 | en_US |
dc.identifier.isbn | 9781479923809 | - |
dc.identifier.uri | http://hdl.handle.net/10722/207341 | - |
dc.description.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. | - |
dc.language | eng | en_US |
dc.publisher | I E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1000115 | - |
dc.relation.ispartof | Proceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering and Economics (CIFEr) | en_US |
dc.title | On Pricing and Hedging Basket Credit Derivatives with Dependent Structure | en_US |
dc.type | Conference_Paper | en_US |
dc.identifier.email | Ching, WK: wching@hku.hk | en_US |
dc.identifier.authority | Ching, WK=rp00679 | en_US |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1109/CIFEr.2014.6924106 | - |
dc.identifier.scopus | eid_2-s2.0-84908125903 | - |
dc.identifier.hkuros | 241890 | en_US |
dc.identifier.spage | 435 | en_US |
dc.publisher.place | United States | - |