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FIRN Supported Seminar: Hedging of Basket Credit Derivatives in Credit Default Swap Markets

Document

Speaker: Monique Jeanblanc, Université d'Évry Val d'Essonne, France

Abstract: The topic of this work is a study of credit default swaps within the framework of a generic reduced-form credit risk model.The main goal is to develop general results dealing with the relative valuation of defaultable claims (e.g., basket credit derivatives) with respect to market values of traded credit-risk sensitive securities. We simply show that a generic defaultable claim (or a generic basket claim, in the case of several underlying credit names) can be replicated by dynamic trading in single-name CDSs.

Date:
13 June 2006
Location:
City - Haymarket CB05D Level 3, Room 3.01
Audience:
Conference Delegates

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