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1

q1: Yes, even if you don't assume that the quanto factor is exactly 1, but you may to dynamically rehedge. If your quanto CDS pricing model reports exposures to the dollar CDS spread and to the quanto factor assumption (which a good model does), then you can see the notionals and maturities of vanilla dollar CDS trades that would flatten both your jump-to-...


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In my experience this is not easily hedgeable. Expected volume can be hedged using baseload futures, or, if you are in a very liquid market (Germany) a combination of baseload and peak. You will still be exposed to the intraday shape, and, in the long term (you can hedge the first months and quarters but at some point you need to resort to calendar products) ...


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