Hedging credit risk using equity derivatives
Equity and credit markets are often treated as independent markets. In this dissertation our objec- tive is to hedge a position in a credit default swap with either shares or share options. Structural models enable us to link credit risk to equity risk via the ¯rm's asset value. With an exten...
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| Format: | Others |
| Language: | en |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10539/5001 |