12. Credit Derivatives

  1. Anthony Saunders and
  2. Linda Allen

Published Online: 6 DEC 2011

DOI: 10.1002/9781118267981.ch12

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

How to Cite

Saunders, A. and Allen, L. (2010) Credit Derivatives, in Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118267981.ch12

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 19 APR 2010

ISBN Information

Print ISBN: 9780470478349

Online ISBN: 9781118267981

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Keywords:

  • credit derivatives;
  • asset securitization;
  • credit default swaps;
  • financial crisis;
  • service loans

Summary

This chapter contains sections titled:

  • Introduction

  • Credit Default Swaps

  • Credit Securitizations

  • Financial Firms' Use of Credit Derivatives

  • CDS Spreads and Rating Agency Rating Systems

  • Summary

  • Appendix 12.1: Pricing the CDS Spread with Counterparty Credit Risk Exposure