Articles on Credit Derivatives – Vinod Kothari Consultants

Articles on Credit Derivatives

LATEST ARTICLES

OLD ARTICLES

CREDIT DERIVATIVES AND 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:

Legal and regulatory

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:

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 –The June 2002 edition of this page is here

A Tree Implementation of a Credit Spread Model for Credit Derivatives by Philipp J. Sch�nbucher 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

Credit derivatives versus cash bonds

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

ARTICLES ON OTHER SITES

Credit Derivatives in Next 5 years: In 1997, Derivatives Strategy asked this to credit derivatives professionals. It is interesting to see the predictions then made in light of the reality.

Roundtable on Credit Derivatives: Celebrities in credit derivatives and credit risk participated in a Roundtable discussion on Credit Derivatives sponsored by Chase Securities Inc. and Moodys Investors Service held November 30, 1999. The excerpts were published in Derivatives Strategy

Hedging closer to happiness: This is an article in Freddie Mac’s publication Secondary Mortgage Markets. The file will open with Adobe Acrobat Reader. Click here to access

Credit derivatives supplement in Derivatives Strategy In June 1997, the journal carried a supplement with several articles on credit derivatives. Click here to access

Credit derivatives: New methods for risk management, Australian CPA, March, 2000
Not on the web – this article by Natasha Beck discusses various types of credit derivatives with special reference to Australia.

Article on total return swaps by Jessica James