 Credit DerivativesCredit derivatives, Securitization Securitizations, and Introduction to xVAPatrice Poncet () and
Roland Portait
Chapter 30 in Capital Market Finance, 2022, pp 1279-1346 from Springer Abstract: Abstract This chapter presents an overview of the credit derivatives and securitization technique used to transfer and manage the credit risk affecting most portfolios. Section 30.1 introduces in detail the main financial instrument dedicated to transferring credit risk, the Credit Default Swap, by which the two parties to the contract exchange a ‘default’ against fixed coupons. Section 30.2 provides a simple presentation of the securitization principle, which consists in transferring the credit risk of non-tradable assets present in one’s portfolio to external investors, and some techniques grounded on this principle. Section 30.3 introduces the notion of valuation adjustment. The initial adjustment, called Credit Valuation Adjustment (CVA), was introduced to account for the counterparty risk which captures the potential loss affecting the value of a derivative in case its counterparty defaults. Enduring disrupted market conditions earmarked the crucial role played by the presence of collateral in the valuation of derivatives, which gave rise to other valuation adjustments, encapsulated in the acronym xVA. Date: 2022 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-84600-8_30 Ordering information: This item can be ordered from DOI: 10.1007/978-3-030-84600-8_30 Access Statistics for this chapter More chapters in Springer Texts in Business and Economics from Springer |
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