Credit default swaps on asset-backed securities

Technical

The asset-backed security (ABS) credit default swap market lies at the intersection between two massive markets, the ABS market and the credit default swap market. At present, the activity in this market represents a tiny fraction of the overall credit derivatives market, but this market has been growing and more growth is anticipated. This article addresses several of the issues that arise when drafting credit derivative contracts that reference asset backed securities (which we refer to as ‘AB

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net 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: