13. Credit Default Swaps

  1. Robert W. Kolb and
  2. James A. Overdahl
  1. Steven Todd

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266403.ch13

Financial Derivatives: Pricing and Risk Management

Financial Derivatives: Pricing and Risk Management

How to Cite

Kolb, R. W. and Overdahl, J. A. (2009) Credit Default Swaps, in Financial Derivatives: Pricing and Risk Management, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266403.ch13

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 19 OCT 2009

ISBN Information

Print ISBN: 9780470499108

Online ISBN: 9781118266403

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Keywords:

  • credit default swaps;
  • collateralized debt obligations;
  • asset-backed security;
  • CDS contracts;
  • prime borrowers

Summary

This chapter contains sections titled:

  • Credit Default Swaps on Corporate Debt

  • Credit Default Swaps on Asset-Backed Securities

  • Credit Default Swaps on Collateralized Debt

  • Obligations

  • The Basis

  • CDS Indices

  • Tranches of CDS Indices

  • Trading Strategies Using Indexes and Tranches

  • Market Dynamics: CDS and CDOs

  • Synthetic CDOs and Bespokes

  • Correlation

  • Conclusion

  • Endnotes

  • About the Author