Credit Derivatives

  • Moorad Choudhry
  • Didier Joannas
  • Richard Pereira
  • Rod Pienaar
Part of the Finance and Capital Markets Series book series (FCMS)


This chapter describes credit derivatives, instruments that are used to manage credit risk in banking and portfolio management. In this chapter we consider only the most commonly encountered credit derivative instruments. Credit derivatives exist in a number of forms. We classify these into two main forms, funded and unfunded credit derivatives, and give a description of each form. We then discuss the main uses of these instruments by banks and portfolio managers. We also consider the main credit events that act as triggering events under which payouts are made on credit derivative contracts.


Credit Risk Credit Default Swap Default Probability Credit Spread Credit Default Swap Spread 
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Copyright information

© Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar 2005

Authors and Affiliations

  • Moorad Choudhry
    • 1
  • Didier Joannas
    • 2
  • Richard Pereira
    • 3
  • Rod Pienaar
    • 4
  1. 1.KBC Financial ProductsUK
  2. 2.Hong KongChina
  3. 3.Nomura plcUK
  4. 4.UBS AGUK

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