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Assignment: Credit Derivatives [3]

论文作者:佚名论文属性:短文 essay登出时间:2009-10-06编辑:steelbeezxp点击率:15624

论文字数:1175论文编号:org200910061123178400语种:英语 English地区:中国价格:免费论文

附件:模板org.pdf

关键词:Credit DerivativesSynthetic securitizationsCredit swap options

of the credit default swap. In return, the investor has to lose some of the principal invested if a specific credit event occurs.
Figure 3:

 

 

 

   
To sum up, there have been progressive developments in the credit market. Three basic instruments in this market are introduced in the report. A total return swap is not like a real credit derivative. Almost all the economic risks of the underlying asset are transferred or replicated to the risk bearer. Unlike a total return swap, a credit default swap only provides protection against specific credit events. Deferent from both two credit derivatives, a credit linked note is not a stand-alone derivatives contact. Actually, it is a debt contact with some credit derivative elements built in.


 (1,175 words)


Bibliography:

Anson, M. J.P., Fabozzi, F. J., Choudhry, M., & Chen, R. (2004). Credit Derivatives: Instruments, Application, and Pricing. New Jersey: John Wiley & Sons, Inc.

Das, S. (2005). Credit Derivatives: CDOs & Structured Credit Products (3rd Ed.). Singapore: John Wiley & Sons (Asia) Pte Ltd.

Jorion, P. (2003). Financial Risk Manager Handbook (2nd Ed.). New Jersey: John Wiley & Sons, Inc.

Overview

There has been a phenomenal growth in credit derivatives trading over the past five years. The emergence of credit derivatives comes from the progressive decomposition of financial risk. A traditional financial instrument will typically confront a series risks – liquidity risks, interest rate or price risks, currency risks, contingent risks, and default risks. Correspondingly, derivatives can be classified based on the form of risk that is being transferred – interest rate derivatives, currency derivatives, options, and credit derivatives and so on.
Credit risk is the potential economic loss which results from that the counterparty fails to fulfill its obligations. Credit derivatives are defined, according to Das (2005), as “a class of financial instrument, the value of which is derived from an underlying market value driven by the credit risk of private or government entities other than the counterparties to the credit derivative transaction itself”. The basic motivation of credit derivatives is to transfer the credit exposure of the underlying assets to a specific counterparty. Banks and institutional investors are the major participants of the credit derivatives market.

The reasons of market expansion

There are several key factors that lead to the rapid development of the market. The first two of the following factors are the requirements of the whole market. Others are the specific advantages of credit derivatives which are desirable from the point of view of different market participants.
The first one is the concerning about concentration of credit exposure in bank asset portfolios. The rapid deterioration of credit quality in the asset portfolios in the early 1990s and the poorly diversified structure of bank credit portfolios are the catalysts of the emergence and further development of the credit derivatives market. For instance, the deterioration in the credit quality of the emerging market obligators combined with weak local currency system, high interest rates, asset duration matching problem in local bank portfolios and that the foreign capitals are rapidly drawing out from the Asian markets lead t论文英语论文网提供整理,提供论文代写英语论文代写代写论文代写英语论文代写留学生论文代写英文论文留学生论文代写相关核心关键词搜索。

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