In this diploma thesis an information based approach for modelling price dynamics of credit derivatives is investigated. The default times are constructed as conditionally independent stopping times with intensities driven by an unobservable market factor. We calculate the dynamics of asset prices within the model and, as an application of the price dynamics, we compute risk minimizing hedging strategies. The thesis closes with an analysis of the implied dependence structure of the default times.      «

In this diploma thesis an information based approach for modelling price dynamics of credit derivatives is investigated. The default times are constructed as conditionally independent stopping times with intensities driven by an unobservable market factor. We calculate the dynamics of asset prices within the model and, as an application of the price dynamics, we compute risk minimizing hedging strategies. The thesis closes with an analysis of the implied dependence structure of the default times...     »