Credit derivatives: the past, the present and the future
The determinants of credit spread returns
What’s driving the default swap basis?
What is the value of modified restructuring?
The debt and equity linkage and the valuation of credit derivatives
Nth to default swaps and notes: all about default correlation
Portfolio credit risk models
Credit derivatives as an efficient way of transitioning to optimal portfolios
Overview of the CDO market
Synthetic securitisation and structured portfolio credit derivatives
Integrating credit derivatives and securitisation technology: the collateralised synthetic obligation
Considerations for dynamic and static, cash and synthetic collateralised debt obligations
CDOs of CDOs: art eating itself?
Valuation and risk analysis of synthetic collateralised debt obligations: a copula function approach
Extreme events and multi-name credit derivatives
Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids
Modelling and hedging of default risk
ISDA’s role in the credit derivatives marketplace
Credit linked notes
Using guarantees and credit derivatives to reduce credit risk capital requirements under the New Basel Capital Accord
The single name, credit default swap (CDS) market trades expected loss (EL), is well-established and is increasingly liquid and standardised. The market for small basket transactions, referencing multiple entities, is growing and diverse. With first, second and nth to default structures, products exist to trade and transfer correlation risk.
Pricing and trading portfolio credit risk is a more complex undertaking. Transactions are individually tailored with a large choice of structural, portfolio and tranching alternatives. Portfolio transactions trade complex correlation and loss combinations.
While single name CDSs pay in the event of credit losses from a single reference entity, small baskets and large portfolios reference multiple entities. The payoff, often called the cash settlement amount, is determined by a formula. The cash settlement amount may include all losses from any reference entity, or it may be defined as losses from the first or second entity to default. In large portfolios it is more common to calculate cash settlement amounts on a tranche, that is, losses between some subordination threshold and some upper band (sometimes called attachment and