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In this paper, we consider effects on hedging errors of a first-to-default swap (FTDS) under a hazard model with deterministic intensities from parameter estimation errors. Here parameter means default intensities of FTDS reference companies. As our mathematical model of FTDS and a credit default swap (CDS) market, we mainly follow Bielecki et al. [1] and [2] and use copula functions to represent the correlation of default times. We give some analytical and numerical results of hedging errors from parameter estimation errors.

Effects on Hedging Errors of First-to-Default Swap from Parameter Estimation Errors