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Credit Derivatives

  • Giovanni CesariEmail author
  • John Aquilina
  • Niels Charpillon
  • Zlatko Filipović
  • Gordon Lee
  • Ion Manda
Chapter
Part of the Springer Finance book series (FINANCE)

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 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Giovanni Cesari
    • 1
    Email author
  • John Aquilina
    • 1
  • Niels Charpillon
    • 1
  • Zlatko Filipović
    • 1
  • Gordon Lee
    • 1
  • Ion Manda
    • 1
  1. 1.UBS AGLondonUK

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