Credit Derivatives

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
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Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 10 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 171-174 from Springer

Abstract: Abstract In this chapter we consider credit derivatives, focussing on loss products. In our framework single name CDSs are just a special case of multi-name CDOs, as the loss dynamics can be described in the same way for both product types. As, however, CDSs have specific features which can be used to introduce more general characteristics of other credit derivatives products, we consider first this type of products. We move then to the classical CDO tranches and show how credit exposure strongly depends on the seniority of the tranche.

Keywords: Credit Default Swap; Credit Derivative; Collateral Debt Obligation; Reference Entity; Interest Rate Swap (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_10

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DOI: 10.1007/978-3-642-04454-0_10

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