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PPT : Credit Derivatives and Structured Credit Tools, Challenges and Market Opportunities
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Credit Derivatives and Structured Credit Tools, Challenges and Market Opportunities
Presentation Outline
Single Name Instruments and Strategies
Credit Default Swaps
Credit Curves
Options on CDS
Basis (Cash vs. Derivatives)
FTD Baskets
Portfolio Instruments and Strategies
Credit Indices
Options on Indices
Credit Tranches
Correlation
Credit Default Swaps
A Credit Default Swap is an agreement in which one party buys protection against losses occurring due to a credit event of a reference entity up to the maturity date of the swap.
The protection buyer pays a periodic fee for this protection up to the maturity date, unless a credit event triggers the contingent payment.
If such a trigger happens, the buyer of protection only needs to pay the accrued fee up to the day of the credit event and deliver an obligation of the reference credit in exchange for the protection payout.
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Tags: credit default swap, credit derivatives, market opportunities