2010•Unpublished venueRequires access
Credit Derivatives I: Unfunded Instruments
Moorad Choudhry, Abukar Ali, Suleman Baig, James J. Croke, Jaffar Hussain, Zhuoshi Liu, Richard Pereira, Sharad A. Samy, Timo SchläFer, Daniel Sempere‐Roldan, Marliese Uhrig‐Homburg
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Abstract
This chapter contains sections titled: Market Volumes Credit Risk and Credit Derivatives Credit Derivative Instruments Credit Default Swaps Technical Features of CDS Basket Default Swaps Quanto Default Swaps Structured Finance Security CDS Asset Swaps Total Return Swaps Credit Options and Credit Spread Options The CDS iTraxx Index Bloomberg Screens Settlement Issues with the Settlement Mechanism Risks in Credit Default Swaps Impact of the 2007–08 Credit Crunch: New CDS Contracts and the CDS ‘Big Bang’ Quick CDS Calculator CDS Index Screens Appendix 2.1 ISDA 2003 Credit Derivative Definitions Appendix 2.2 CDS Term Sheet Appendix 2.3 Total Return Swap and Repo Appendix 2.4 Basel Regulatory Capital Treatment and Credit Derivatives Appendix 2.5 Market-Implied Timing of Default from CDS Prices