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.
KeywordsCredit Default Swap Credit Derivative Collateral Debt Obligation Reference Entity Interest Rate Swap
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