Overview of CDS Products and Market Activity

Christopher L. Culp (), Andria van der Merwe () and Bettina J. Stärkle ()
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Christopher L. Culp: Johns Hopkins University
Andria van der Merwe: Johns Hopkins University
Bettina J. Stärkle: Compass Lexecon

Chapter Chapter 1 in Credit Default Swaps, 2018, pp 3-13 from Palgrave Macmillan

Abstract: Abstract Credit default swaps (“CDSs”) are derivatives instruments that facilitate risk transfer between credit protection purchasers and sellers in global debt markets. The main types of CDSs are: (i) single-name CDSs that derive their values from bonds or loans issued by individual corporate, sovereign, or other reference entities; (ii) multi-name CDSs that derive their values from portfolios of multiple reference entities, indices of multiple reference entities, or tranched indices of multiple reference names; and (iii) asset-backed CDSs with cash flows based on the cash flows or values of specific assets (usually asset-backed securities). All three types of CDSs experienced contractions in notional amounts outstanding following the 2007 outbreak of the global credit crisis, but many types of CDSs remain vigorous, robust credit risk transfer instruments to date.

Keywords: Credit default swap; CDS; Single-name CDS; Index CDS; Basket CDS; Tranched index CDS; Asset-backed CDS; Credit crisis; Credit risk transfer; Notional amounts outstanding; Trading volume (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/978-3-319-93076-3_1

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