Standardization of Credit Default Swaps Market

Tommaso Colozza

Discussion Papers from Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy

Abstract: Standardization of credit derivatives was a necessary step towards a more transparent and better structured market, especially after recent financial turmoil. In this survey, we sum up the enhancements established by ISDA in 2009, focusing on vanilla instruments (Credit Default Swaps). New contract features include changes in the cash flow and in post-default settlement mechanisms, where auctions are now provided; an exhaustive description of such features acts as a basis for quantitative analysis of this standard market. A rigorous depiction of the conversion mechanism, the ISDA CDS Standard model, is also provided.

Keywords: Credit Default Swaps; Standardization; ISDA CDS Model; Upfront; Auction Settlement. (search for similar items in EconPapers)
JEL-codes: C60 G23 G28 (search for similar items in EconPapers)
Date: 2014-12-01
New Economics Papers: this item is included in nep-cfn and nep-fmk
Note: ISSN 2039-1854
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Persistent link: https://EconPapers.repec.org/RePEc:pie:dsedps:2014/190

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