Credit Derivatives
First published:
ISBN: 9781904339120
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ISDA’s role in the credit derivatives marketplace
Louise Marshall
Introduction
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
Dynamite dynamics
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
As is typical across the range of asset classes underlying privately negotiated derivatives, the role of the International Swaps and Derivatives Association (ISDA) in the credit derivatives market is diverse. As one would expect, ISDA has played a significant role in establishing the underlying documentation for credit derivatives, this being the area of expertise for which the Association is most widely known. However, the Association has also been extremely active in lobbying for appropriate capital treatment under the new Basel rules, and also in regional regulatory, tax and accounting jurisdictions. Not least, ISDA has served as a forum for market practitioners to address issues relating to the trading conventions best suited to this marketplace.
ISDA also monitors the continued development of the credit default swap (CDS) market. CDSs have become commoditised derivative products to much the same effect as plain vanilla interest rate swaps, accounting for the larger part of the credit derivatives market. In its sampling for the first six months of 2002, ISDA estimated the market size for CDS notional volume at US$1.6 trillion, an increase of 44% for that period. In the
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