Synthetic securitisation and structured portfolio credit derivatives

By Paul Hawkins

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

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: