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Dynamic hedging with CDS and swaptions

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babu12
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Joined: January 30th, 2008, 2:47 pm

Dynamic hedging with CDS and swaptions

May 20th, 2008, 1:25 pm

hi, does anyone know how to hedge a CCDS with CDS and swaptions.(please give some detailed explanation or a reference)Thanks
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d32
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Dynamic hedging with CDS and swaptions

May 21st, 2008, 7:38 pm

E. Picoult had a presentation on Counterparty Credit Risk where he breaks the CVA down into CDS and swaptions. This may give you a good starting point.www.prmia.org/Chapter_Pages/Data/Files/ ... tation.pdf
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d32
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Dynamic hedging with CDS and swaptions

May 21st, 2008, 7:42 pm

Last edited by d32 on May 20th, 2008, 10:00 pm, edited 1 time in total.
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Polysena
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Dynamic hedging with CDS and swaptions

May 13th, 2009, 5:37 pm

Excellent source thanks!
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