Dynamic hedging with CDS and swaptions
Posted: May 20th, 2008, 1:25 pm
by babu12
hi, does anyone know how to hedge a CCDS with CDS and swaptions.(please give some detailed explanation or a reference)Thanks
Dynamic hedging with CDS and swaptions
Posted: May 21st, 2008, 7:38 pm
by d32
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
Dynamic hedging with CDS and swaptions
Posted: May 21st, 2008, 7:42 pm
by d32
Dynamic hedging with CDS and swaptions
Posted: May 13th, 2009, 5:37 pm
by Polysena
Excellent source thanks!