Synthetic securitisation and structured portfolio credit derivatives

By Paul Hawkins

credit-derivatives-book
This article was first published as a chapter in Credit Derivatives, by Risk Books. INTRODUCTION

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 com

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