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Credit Derivatives, Corporate News, and Credit Ratings [PDF]
SSRN Electronic Journal, 2008 The market for credit default swaps (CDS) represents an interesting venue to study if and how public and private information is incorporated in market prices. This OTC market is neither regulated nor supervised and exclusively made up by institutional traders that buy and sell credit risk.
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An Overview of Credit Derivatives [PDF]
SSRN Electronic Journal, 2009 Credit risk is the distribution of nancial loss due to a broken nancial agreement, for example failure to pay interest or principal on a loan or bond. It pervades virtually all nancial transactions, and therefore plays a signicant role in nancial markets. A credit derivative is a security that allows investors to transfer credit risk to other investors
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Credit Derivatives and Counterparty Credit Risk
2017Financial derivatives are generally contracts whose financial payoffs depend on the prices of certain underlying assets. The contracts are traded Over the Counter (OTC), or in a standardized form on organized exchanges. The most popular derivative types are forwards, futures, options, and swaps.
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2004
Publisher Summary This chapter focuses on funded credit derivative instruments or credit-linked notes (CLNs). The CLNs are bond instruments for which an investor pays cash to receive a periodic coupon and on maturity or termination all or part of its initial price back.
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Publisher Summary This chapter focuses on funded credit derivative instruments or credit-linked notes (CLNs). The CLNs are bond instruments for which an investor pays cash to receive a periodic coupon and on maturity or termination all or part of its initial price back.
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Investing in Credit Derivatives
2009The on-going turmoil in the United States sub-prime mortgage market – and, more recently, the sub-prime mortgage-related losses being reported by some of the world’s largest banks – have brought into sharp focus the risks of investing in credit derivatives, even where the credit derivatives are not linked predominantly to subprime mortgages but ...
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Introduction to Credit Derivatives
2014The risk of a counterparty of a financial contract failing to live up to their obligations is real and can have far-reaching consequences. The financial system is predicated on the fact that when one buys an option or bond or enters into a swap with a counterparty, the expectation is that they will honor all contingent or promised cash flows from the ...
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Credit Derivatives and Markets
2010Credit risk can be defined as the “risk of changes in value associated with unexpected changes in the credit quality” of a counterparty in a financial contract. These unexpected changes range from a reduction in the market value of the financial contract, due to a decline in the credit quality of the obligor, to the default of the counterparty, which ...
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