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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
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?
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

 

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.rightsProceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering and Economics (CIFEr). Copyright © I E E E.-
dc.rights©2014 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
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.naturepublished_or_final_version-
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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