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Additional resources for An Introduction to Credit Derivatives
John Wiley Das, S. (1994) Swaps and Financial Derivatives. ) (1998) Credit Derivatives: Products, Applications and Pricing. ) (2000) Credit Derivatives and Credit Linked Notes. John Wiley Decovney, S. (1999) Swaps. , Whittaker, J. (1999) The Handbook of Credit Derivatives. ) Credit Derivatives: The Definitive Guide, RISK Publishing Kolb, R. (1999) Futures, Options and Swaps. Blackwell Schonbucher, P. (2003) Credit Derivatives Pricing Models, John Wiley Tolk, J. 1: ISDA 2002 credit derivative definitions Bankruptcy A reference entity voluntarily or involuntarily files for bankruptcy or insolvency protection, or is otherwise unable to pay its debts.
By purchasing credit options, banks and other institutions can take a view on credit spread movements for the cost of the option premium only, without recourse to actual loans issued by an obligor. The writer of credit options seeks to earn premium income. Credit option terms are similar to those used for conventional equity options. A call option written on a stock grants the purchaser the right but not the obligation to purchase a specified amount of the stock at a set price and time. A credit option can be used by bond investors to hedge against a decline in the price of specified bonds, in the event of a credit event such as a ratings downgrade.
13: Bloomberg page RVS for Toyota 5V2% 2008 bond, 21 July 2003. P. Reproduced with permission. To undertake analysis of a CDS written on this bond, we select screen CDSW. 15. 15). Pricing models are discussed in Chapter 5. As well as selecting the pricing model, the user also selects the benchmark yield curve and the credit-risky yield curve, from which the CDS is priced off. The user also selects the recovery rate. 74 bps. From screen CDSW it is possible to view the contributing yield curves that have been used in pricing the CDS.