Credit Derivatives Market

Rosella Giacometti

Chapter 8 in Euro Bonds:Markets, Infrastructure and Trends, 2013, pp 223-248 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe CDS MarketThe single-name CDSCDS as a measure of credit riskMarket featuresFactors determining the credit spreadBond yield and CDS spreadPricing a CDSMultiname credit derivatives: basket products and CDS indicesCollateralized Debt ObligationCase StudiesForward-looking measures of default probabilitiesExtracting joint default probabilities from CDSAppendix 8.A. Unconditional Default ProbabilityGlossaryReferences

Keywords: Euro Bonds; Systemic and Contagion Risk; Fixed-Income Instruments; Structured Financial Products; Stability Bonds; Bond Market Infrastructure; Credit Rating Agencies; Securitization Market; Market Bond Products; Credit Derivatives Market (search for similar items in EconPapers)
Date: 2013
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