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SSRN Electronic Journal, 2021
Corporate credit derivatives are over-the-counter (OTC) contracts whose payoffs are determined by a single corporate credit event or a portfolio of such events. Credit derivatives became popular in the late 1990s and early 2000s as a way for financial institutions to reduce their regulatory capital requirement, and early research treated them as ...
George E. Batta, Fan Yu
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Corporate credit derivatives are over-the-counter (OTC) contracts whose payoffs are determined by a single corporate credit event or a portfolio of such events. Credit derivatives became popular in the late 1990s and early 2000s as a way for financial institutions to reduce their regulatory capital requirement, and early research treated them as ...
George E. Batta, Fan Yu
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A perspective on credit derivatives [PDF]
International Review of Financial Analysis, 2002 This contribution offers an explanation of credit derivatives as a group of financial instruments having a common purpose being the managing of credit exposures, and thus credit or default risk. This paper explores the links between their economic and financial manifestations and the legal bases for their widespread application.
Batten, Jonathan A., Hogan, Warren
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Credit Derivatives Market [PDF]
, 2013 AbstractThe following sections are included:IntroductionThe CDS MarketThe single-name CDSCDS as a measure of credit riskMarket featuresFactors determining the credit spreadBond yield and CDS spreadPricing a CDSMultiname credit derivatives: basket products and CDS indicesCollateralized Debt ObligationCase StudiesForward-looking measures of default ...
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Credit, Credit Derivatives, and Credit Default
2011After some empirics we want to build up some theory. This will be done in this and the next chapter. As shown in ch. 19, one of the accelerating and magnifying forces in the recent financially driven boom-bust cycle seems to have come from credit and credit derivatives. Before going into the securitization of debt instruments, which played an important
Willi Semmler, Willi Semmler
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Credit Risk Management and Credit Derivatives [PDF]
, 2014 Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio. The primary goal of these models is to help credit analysts define whether a loan should be issued, which risk premia is appropriate and how much capital should be directed to the ...
Jürgen Franke +2 more
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2005
In this chapter, we discuss some basic concepts regarding credit derivatives. We start with a simple definition of what is a credit derivative and then introduce the main types of credit derivatives. Some key valuation principles are also highlighted.
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In this chapter, we discuss some basic concepts regarding credit derivatives. We start with a simple definition of what is a credit derivative and then introduce the main types of credit derivatives. Some key valuation principles are also highlighted.
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2003
Publisher Summary Credit derivatives allow investors to manage the credit risk exposure of their portfolios or asset holdings, essentially by offering insurance against deterioration in credit quality of the borrowing entity. Credit risk is the risk that a borrowing entity will default on a loan, either through inability to maintain the interest ...
Moorad Choudhry, Brian A. Eales
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Publisher Summary Credit derivatives allow investors to manage the credit risk exposure of their portfolios or asset holdings, essentially by offering insurance against deterioration in credit quality of the borrowing entity. Credit risk is the risk that a borrowing entity will default on a loan, either through inability to maintain the interest ...
Moorad Choudhry, Brian A. Eales
openaire +2 more sources