Abstract
Credit derivatives are instruments used to measure, manage, and transfer credit risk. Recently, there has been an explosive growth in the use of these instruments in the financial markets. This article reviews the structure and use of some credit derivative instruments that are popular in practice.
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References
Anson, M., Fabozzi, F., Choudhry, M., and Chen, R.R. (2004). Credit Derivatives: Instruments, Applications, and Pricing. New York: John Wiley.
Caouette, J.B., Altman, E.I., and Narayanan, P. (1998). Managing Credit Risk: The Next Great Financial Challenge. New York: John Wiley.
Duffie, D. and Singleton, K.J. (2003). Credit Risk: Pricing, Measurement and Management. New Jersey: Princeton University Press.
Saunders, A. and Allen, L. (2002). Credit Risk Measurement, 2nd edn. New York: John Wiley.
Acknowledgement
We would like to thank Dominic O’Kane of Lehman Brothers for helpful comments and suggestions.
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© 2013 Springer Science+Business Media New York
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Chen, RR., Huang, JZ. (2013). Credit Derivatives. In: Lee, CF., Lee, A. (eds) Encyclopedia of Finance. Springer, Boston, MA. https://doi.org/10.1007/978-1-4614-5360-4_6
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DOI: https://doi.org/10.1007/978-1-4614-5360-4_6
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Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4614-5359-8
Online ISBN: 978-1-4614-5360-4
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