Articles and materials on credit derivatives

Recent additions

Added 17th Oct 2011

•  RBI’s Guidelines on Credit Default Swaps for Corporate Bonds, by Nidhi Bothra
• A tongue-in-cheek article by Gillian Tett, Financial Times capital markets edition – The Dream Machine: Invention of Credit Derivatives; highly commendable
• The Lehman Guide to Exotic Credit Derivatives
• Insider Trading in Credit Derivatives by Prof Viral Acharya and Timothy Johnson
• Moral Hazard and Survival value at risk – article discussing impact of transfers of risk by various instruments, moral hazard issues, etc
• Playing Hardball : Relationship Banking in the Age of Credit Derivatives
  Stefan Arping
• Analysis of Credit Default Swaps: Market, Applications and Legal Issues, by di
  Massimo Telesca, Avvocato, LLM

Index by Topic

General write-ups

•  A tongue-in-cheek article by Gillian Tett, Financial Times capital markets edition – The Dream Machine: Invention of Credit Derivatives; highly commendable
• The Lehman Guide to Exotic Credit Derivatives
• The Lehman Guide to Exotic Credit Derivatives
• The JP Morgan guide to Credit Derivatives – a very readable primer on credit derivatives
• Playing Hardball : Relationship Banking in the Age of Credit Derivatives
  Stefan Arping
• Articles on credit derivatives in general on Moorad Chowdhry’s website
• Introduction to credit derivatives in a Bank of Canada publication by John Kiff and Ron Morrow, Financial Markets Department – an overall concept paper with regulatory information, pricing, uses, etc.
• A very readable primer on credit derivatives
• Credit Derivatives Move Beyond Plain Vanilla by Sunil K. Aggrawal
• Credit Derivatives in Next 5 years
• Roundtable on Credit Derivatives
• Credit derivatives supplement in Derivatives Strategy – several articles
• Credit Derivatives: A Look at the Market, Its Evolution and Current Size 
• Article by Don Chance on Credit Derivatives (in PDF format):

Credit derivatives and risks

[Also see our page on financial system risks]

• Insider Trading in Credit Derivatives by Prof Viral Acharya and Timothy Johnson
• Moral Hazard and Survival value at risk – article discussing impact of transfers of risk by various instruments, moral hazard issues, etc

Risk management by credit derivatives

• Do credit derivatives increase banking risk – article on Bank of France website
• Credit Derivatives: A risk management tool for non-bank corporations by Alex Reyfman and Klaus Toft
• Hedging closer to happiness
• Corporate Uses for Credit Derivatives: 
• UNLOADING CREDIT RISK
• Credit Derivatives: Implications for Bank Portfolio Management

Legal and regulatory

• Our page on legal issues
• Article in Italian context: Analysis of Credit Default Swaps: Market, Applications and Legal Issues, by di Massimo Telesca, Avvocato, LLM
• What central banks can learn about default risk from credit markets by Ian W Marsh of Bank of England in BIS publication; click here
• Bankruptcy laws and credit derivatives by Chip Rainey; click here
• Credit Derivatives 2000: Legal and Regulatory Update
• Credit risk and regulatory capital paper – ISDA

Types of derivatives

• Article on total return swaps by Jessica James:
• Synthetic CDOs – see our page here

Pricing of credit derivatives

• EFFECT OF ASSET VALUE CORRELATION ON CREDIT-LINKED NOTE VALUES by C. H. HUI and C. F. LO – click here
• What central banks can learn about default risk from credit markets by Ian W Marsh of Bank of England in BIS publication – also discusses pricing models; click here
• An Empirical Comparison of Default Swap Pricing Models by Patrick Houweling and Ton Vorst –click here The June 2002 edition of this page is here
• Valuing Credit Default Swaps II: Modeling Default Correlations by John Hull, and Alan White [See part I of the authors’ article linked below]
• A unified model for credit derivatives [Postscript]: A. Bélanger, S. Shreve, D. Wong (April 2001), Scotia Capital, Carnegie Mellon University, Bank of America Corporation, 45 Pages
• What factors affect the prices of credit default swaps – Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data, a May 2001 paper by Didier Cossin & Tomas Hricko
• A Tree Implementation of a Credit Spread Model for Credit Derivatives by Philipp J. Schönbucher of the Department of Statistics, Bonn University, Bonn University
• Contagion in Latin America: an Analysis of Credit Derivatives by Jessica Beattie of Duke University
• Valuing Credit Default Swaps I: No Counterparty Default Risk by John Hull of the University of Toronto and, Alan White of the University of Toronto
• Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data by Didier Cossin of HEC, University of Lausanne, and Tomas Hricko of HEC
• Pricing credit derivatives under default probabilities on Defaultrisk.com site
• Credit Derivatives: How much should they cost – by Jessica James

Investment in credit derivative products

• Default swap investment strategies by Alex Reyfman and Klaus Toft of the Goldman Sachs credit derivatives strategies group

Trading in credit derivative products

• This article commends exchange-trading activity in credit default swaps

Credit derivatives versus cash bonds

• Do Cash bonds and credit default swaps have an arbitrage? Paper by a BIS researcher

Credit default swaps in Italian context

• Analysis of Credit Default Swaps: Market, Applications and Legal Issues, by di
  Massimo Telesca, Avvocato, LLM