Multi-Name and Index CDSs

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 4 in Credit Default Swaps, 2018, pp 85-97 from Palgrave Macmillan

Abstract: Abstract Credit default swaps (“CDSs”) based on more than one reference entity include bespoke portfolio CDSs with customized reference portfolios, basket CDSs with individualized reference portfolios and engineered payoffs (e.g., Nth-to-default CDSs and excess-of-loss CDSs) designed to reduce the cost of credit protection while tailoring such protection to the particular needs of protection purchasers, index CDSs based on a standardized set of underlying reference entities, and tranched index CDSs based on both a standardized set of underlying reference entities and pre-defined cumulative loss rates. The mechanics of these types of multi-name CDSs are summarized here.

Keywords: Multi-name credit default swap; Multi-name CDS; Index CDS; Portfolio CDS; Basket CDS; Tranched index CDS; CDX; LCDX; LevX; iTraxx; Nth-to-default swap; Excess-of-loss swap; XOL swap (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:psircp:978-3-319-93076-3_4

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DOI: 10.1007/978-3-319-93076-3_4

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