Credit Derivatives

Moorad Choudhry, Didier Joannas, Gino Landuyt, Richard Pereira and Rod Pienaar
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Moorad Choudhry: Europe Arad Bank plc
Didier Joannas: Thomson Reuters-Risk in North Asia
Gino Landuyt: Europe Arad Bank plc
Rod Pienaar: UBS AG prime services

Chapter 20 in Capital Market Instruments, 2010, pp 383-425 from Palgrave Macmillan

Abstract: Abstract This chapter describes credit derivatives, instruments that are used to manage credit risk in banking and portfolio management. Credit derivatives exist in a number of forms. We classify these into two main forms, funded and unfunded credit derivatives, and give a description of each form. We then discuss the main uses of these instruments by banks and portfolio managers. We also consider the main credit events that act as triggering events under which payouts are made on credit derivative contracts.

Keywords: Credit Risk; Credit Default Swap; Credit Spread; Underlying Asset; Credit Default Swap Spread (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-27938-4_20

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DOI: 10.1057/9780230279384_20

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