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Assignment: Credit Derivatives [5]

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:15623

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

ller) will receive a payment when the price of the underlying asset goes down (up). Both parties’ payments are based on the same notional amount. Through this mechanism, protection buyer (A) effectively eliminates the risks of the underlying asset whereas protection sell (B) bears the full risk of the price fluctuations of the underlying asset.
Figure 2:

Credit Linked Notes:
A credit linked note is actually a debt instrument with a credit derivative embedded in it. Market participants may take the risk on a specific credit event of the underlying asset, as an exchange; receive a higher yield on the note.
For instance, as shown in Figure 3 below, the trustee gathers all the payments from investors as the par value of the credit linked note. Then, the trustee invests the fund in high quality debt instruments and short a credit default swaps to the provider – usually the bank seeking to hedge credit risks of its portfolio. The process provides the investor the opportunity to receive a higher return which is (LIBOR+Xbp+Ybp). (LIBOR+Ybp) is the return on the high quality debt asset invested by the trustee and (Xbp) comes from the periodic payments by the buyer 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.

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