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Topic: Credit default option

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Credit default swap

	Credit default option - Wikipedia, the free encyclopedia
		In finance, a default option or credit default option is an option to buy protection (payer option) or sell protection (receiver option) as a credit default swap on a specific reference credit with a specific maturity.
		The option is usually european, exercisable only at one date in the future at a specific strike price defined as a coupon on the credit default swap.
		Credit default options on single credits are extinguished upon default without any cashflows.
	en.wikipedia.org /wiki/Credit_default_option (169 words)

	Call option - Wikipedia, the free encyclopedia
		A call option is a financial contract between two parties, the buyer and the seller of this type of option.
		A call option should not be confused with either Incentive stock options or with a warrant.
		An incentive stock option, the option to buy stock in a particular company, is a right granted by a corporation to a particular person (typically executives) to purchase treasury stock.
	en.wikipedia.org /wiki/Call_option (934 words)

	What is an Option?
		An option is a contract to buy or sell a specific financial product officially known as the option's underlying instrument or underlying interest.
		What a particular options contract is worth to a buyer or seller is measured by how likely it is to meet their expectations.
		In the language of options, that's determined by whether or not the option is, or is likely to be, in-the-money or out-of-the-money at expiration.
	www.888options.com /basics/whatis/default.jsp (1061 words)

	CFTC Glossary (Site not responding. Last check: 2007-10-30)
		Credit Derivative: An over-the-counter (OTC) derivative designed to assume or shift credit risk, that is, the risk of a credit event such as a default or bankruptcy of a borrower.
		Credit Rating: A rating determined by a rating agency that indicates the agency’s opinion of the likelihood that a borrower such as a corporation or sovereign nation will be able to repay its debt.
		Credit Spread: The difference between the yield on the debt securities of a particular corporate or sovereign borrower (or a class of borrowers with a specified credit rating) and the yield of similar maturity Treasury debt securities.
	www.cftc.gov /opa/glossary/opaglossary_co.htm (2073 words)

	Types of credit derivatives
		In a credit default swap, the protection buyer continues to pay a certain premium to the protection seller, with the option to put the credit to the protection seller should there be a credit event.
		Equity default swaps, relatively new in the marketplace, use a substantial and non-transient decline in the market value of equity as a trigger event - assuming that a deep decline in the market value of equity is either indicative of a default or preparatory for a default.
		And for the protection buyer, assuming the probability of the second default in a basket is quite low, he actually buys protection for the entire basket but paying a price which is much lower than the sum of individual prices in the basket.
	www.credit-deriv.com /types_credit_deriv.htm (548 words)

	default (Site not responding. Last check: 2007-10-30)
		In all instances, college credit is awarded and may be used at LCCC or for transfer to a college or university of choice after high school graduation.
		Credits are then utilized at LCCC or for transfer to the college or university of choice.
		To participate in the Ohio Option B program, students need to notify their high school officials (usually a guidance counselor or principal) of their intent to participate by March 30 prior to the academic year they wish to begin.
	www.lorainccc.edu /LCCC/Academic/Enrollment_Services/PSEO/default.Normal.138.lccc (1014 words)

	Options - Real Time & Delayed Quotes, Charts, News and Data for Futures, Stocks, Commodities and Indexes - TradeSignals
		A real option may be something as simple as the opportunity to buy or sell a house at a given price at some period in the future.
		Employee stock options are also widely used as a compensation vehicle for employees and, in particular, senior executives of publicy traded corporations.
		However, employee stock options use is being curbed thanks in part to a decision by the Financial Accounting Standards Board (FASB) requiring that stock option grants are recorded on the income statement as an expense.
	www.tradesignals.com /glossary/Options (1193 words)

	[No title]
		For the segment to develop, the sellers of credit protection need to be able to hedge their risks, enabling them to quote a price for the protection they are selling.
		This could ensure that the local banks undertake credit exercises in their respective areas of competence, and by exchange of Credit default swaps, achieve the necessary diversification.
		Credit Derivatives could provide means to hedge such risks and thus increase the viability of such projects.
	www.credit-deriv.com /siddharthahariarticle.doc (1861 words)

	CREDIT DP 99
		Credit insurance for an individual borrower might have precisely the same terms as credit insurance for a corporate borrower.
		The seller passes his credit risk by offering the buyer the interest on his credit position (which is still on his balance sheet) + a certain fee which depends on the risk of the credits underlied.
		Deducing the risk neutral probability of default depends on knowing the recovery rates, having a rich set of debt instruments for the debtor, and assuming that default and the level of riskless rates is independent.
	www.margrabe.com /Credit/CreditDerivatives99.html (8183 words)

	Amazon.com: Credit Derivatives: Trading & Management of Credit & Default Risk (Wiley Frontiers in Finance): Books: ... (Site not responding. Last check: 2007-10-30)
		Credit derivatives have emerged as a significant area in global derivatives and risk management practice.
		The emergence of credit derivatives must be understood against a background of a progressive redefinition of risk and financial derivatives.
		This book was among the first in the credit derivatives markets and if you have an early edition, looking at the issues in the credit derivatives market then versus now is an interesting read for the evolution of this market.
	www.amazon.com /Credit-Derivatives-Management-Frontiers-Finance/dp/0471248568 (1278 words)

	OvationLaw's Blog - December, 2005
		Bankruptcies remain on your credit report for 7 to 10 years, so stay away from credit repair agencies that claim to be able to remove legitimate and verifiable bankruptcies from your credit history.
		Usually the credit limit is equal to the security amount given and is increased as the debtor demonstrates ability to pay the debt.
		If your application for credit, insurance, or employment is denied because of inaccurate or incomplete credit information, the company to which you applied must give you the name and address of the reporting credit bureau.
	www.creditrepairblog.net /default,month,2005-12.aspx (4526 words)

	EDFUND - Students and Parents
		By making timely payments on your defaulted loan, you avoid many of the collection activities that we are required, by law, to perform.
		Rehabilitation is a program for borrowers who want to clear their credit and have their loan removed from default.
		Defaulted student loans included in a consolidation are paid in full, transferring the defaulted loan to a good standing loan.
	www.edfund.org /students/studentpar.cfm?edfpage=/students/defaulted/student_options.html (741 words)

	MSc Research Proposal - CDO (Site not responding. Last check: 2007-10-30)
		Normally the contract of a CDO stipulates the credit event as an actual default on a payment of some debt.
		Default typically implies inability to pay the sum in question, yet a legal dispute over the payment might result in a default unrelated to the financial integrity of the corporation.
		Due to the default, the value of the bond would drop considerably; the new credit rating and price of the reference asset would have to be determined by allowing the market to finds its true value through arbitrage.
	users.iafrica.com /g/gl/glenbrik/CDO.htm (473 words)

	[No title] (Site not responding. Last check: 2007-10-30)
		Calculate the credit spread, recovery rate and correlation sensitivities of an option on a binary basket credit default swap.
		Given par spreads of a credit default swap on synthetic CDO tranches calculate the base correlations of the tranches.
		Given default probabilities and a credit index correlation matrix of a basket of entities and a counterparty calculate probabilities that all the entities default before the counterparty defaults.
	www.fincad.com /support/v9funref/Index_Credit.htm (2945 words)

	Express Financial - Option ARM (Site not responding. Last check: 2007-10-30)
		The Option ARM's 7.5% payment cap limits how much the Option 1 payment can increase or decrease each year, except for every fifth year (beginning in the 10th year on certain programs), when the cap does not apply.*
		When you choose this option, you pay all the interest due and reduce your principal to pay off your loan on schedule.
		Option 4 is calculated to amortize your loan based on a 15-year term from the first payment due date.
	www.mortgagestogo.com /optionarm_default.asp (437 words)

	Draft guidelines for introduction of Credit Derivatives in India
		Effective management of credit risk is a critical factor in comprehensive risk management and is essential for the long-term financial health of business organizations, especially banks.
		Another way of describing credit derivative is that it is a financial contract outlining potential exchange of payments in which at least one leg of the cash flow is linked to the “performance” of a specified underlying credit sensitive asset.
		CDOs may be further categorized, based on the structure with which funding is raised.
	www.indlegal.com /derivative.htm (4005 words)

	CFTC Glossary (Site not responding. Last check: 2007-10-30)
		Default: Failure to perform on a futures contract as required by exchange rules, such as failure to meet a margin call, or to make or take delivery.
		Delivery Option: A provision of a futures contract that provides the short with flexibility in regard to timing, location, quantity, or quality in the delivery process.
		Delta Margining or Delta-Based Margining: An option margining system used by some exchanges that equates the changes in option premiums with the changes in the price of the underlying futures contract to determine risk factors upon which to base the margin requirements.
	www.cftc.gov /opa/glossary/opaglossary_d.htm (1175 words)

	math lessons - Put option
		A put option (sometimes simply called a "put") is a financial contract between two parties, the buyer and the seller of the option.
		The most widely-known put option is for stock in a particular company.
		However, options are traded on many other assets: financial - such as interest rates (see interest rate floor) - and physical, such as gold or crude oil.
	www.mathdaily.com /lessons/Put (665 words)

	Tobacco Buyout - LeMastus
		Regardless of your size of operation or the amount of buyout funds in which you are entitled, you should evaluate all your options and talk to your tax adviser.
		One of the options is to work with your lender in assigning the buyout contract and accepting a lump sum amount upfront.
		Farmers “are going to have different options, by different financial institutions, and in some cases that may be the amount of discount on the lump sum payments they receive.
	www.e-farmcredit.com /Default.aspx?3-2429 (729 words)

	Call option - Real Time & Delayed Quotes, Charts, News and Data for Futures, Stocks, Commodities and Indexes - ...
		A European call option allows the holder to exercise the option (i.e., to buy) only on the delivery date.
		American call option allows exercise at any time during the life of the option.
		When a call option is exercised, if it involves shares, the shares are simply being transferred from one owner to another.
	www.tradesignals.com /glossary/Call_option (884 words)

	Experian Credit Expert, check credit rating, credit reports & file alerts - with Experian CreditExpert.co.uk
		You should check it regularly to ensure it is up to date and reflects your credit track record accurately, so you can make better-informed decisions when you apply for credit and are more likely to get the deals you want.
		Every time you apply for credit or a loan, that request is recorded.
		If you are looking for a good credit deal or mortgage, CreditExpert allows you to check your report to ensure that it accurately reflects your position.
	www.creditexpert.co.uk /UK/Default.aspx (430 words)

	moneyscience.org : Options (Site not responding. Last check: 2007-10-30)
		Most often the term "option" refers to a derivative security, an option which gives the holder of the option the right to purchase or sell a security?
		Real options are an increasingly influential tool in corporate finance.
		For example buying an at-the-money call option for 2 monetary units per share for a total of 200 units on a security priced at 20 units, will lead to a 100% return on premium if the option is exercised when the underlying?
	www.moneyscience.org /tiki/tiki-index.php?page=Options (1320 words)

	Put option - Gurupedia
		The most widely-known put option is the stock option, the option to sell stock in a particular company.
		I enter a contract to have the option to sell a share in XYZ Corp. on June 1, 2003, for $50.
		My option would be worthless and I would have lost my whole investment, the fee for the option.
	www.gurupedia.com /p/pu/put.htm (530 words)

	[No title]
		As a variation, the option seller may be required to pay the buyer the difference between a pre-agreed price for the
		A credit default swap is similar to a credit default option in that a payment is made on a credit event.
		Two main methods can be used to calculate the price of a credit derivative, which needs to reflect not only the probability of default but also the likely amount of loss in the event of default: (1) historical default rates for a
	www.ey.com /global/miniG.nsf/5f62177d28e31caf8025664a005aeb2b/e190a070aaa9e4a580256656003781f7?OpenDocument (495 words)

	Northwest Farm Credit Services - Legislative Issues
		The legislature actually adopted two systems; the "top two" or Cajun primary which allows the top two candidates, regardless of party, to move to the general election, and a "Montana" style primary, which allows voters to select a party's ballot in secrecy, but limits the voting to that one party's ballot.
		Governor Gary Locke vetoed the “top two” option out of the bill, leaving the “Montana” style primary intact.
		The legislature did not pass major issues such as tort reform, minimum wage reform, reform to the workers compensation system, or modifications to the Regional Transportation investment districts.
	www.farm-credit.com /Default.aspx?pageid=34 (1673 words)

	Amazon.com: Credit Derivatives: A Guide to Instruments and Applications: Books: Janet M. Tavakoli (Site not responding. Last check: 2007-10-30)
		discusses credit default protection, default protection seller, default protection buyer, undrawn revolver, asset swap package, credit default option, credit default event, reference asset, bank arranger, favorable capital treatment
		discusses default protection buyer, convertibility protection, asset swap package, credit default option, reference asset, regulatory capital treatment
		Implementing Credit Derivatives: Strategies and Techniques for Using Credit Derivatives in Risk Management (Irwin Library of Investment and Finance)
	www.amazon.com /Credit-Derivatives-Guide-Instruments-Applications/dp/sitb-next/0471246565 (408 words)

	The Delivery Option in Credit Default Swaps
		Abstract: Under standard assumptions the deterministic reduced-form credit risk model is not capable of accurately pricing the two fundamental credit risk instruments - bonds and credit default swaps (CDS) - simultaneously.
		An extended model is presented which includes the delivery option implicit in CDS contracts emerging since a basket of bonds is deliverable in default.
		A cross-sectional analysis reveals that the implied recovery parameter depends on proxies for the delivery option, primarily the number of available bonds and the bond pricing errors.
	www.defaultrisk.com /pp_crdrv118.htm (305 words)

	DefaultRisk.com The largest collections of credit risk modeling resource
		This is the web's most comprehensive credit risk modeling and measurement resource for corporate debt.
		Call for Papers: credit risk and related works; to be published in the Advances in Econometrics journal.
		Although I am the principal author of CreditMetrics® and LossCalc™ (and have a natural affinity for them), I am more of an advocate for the continued study of credit risk modeling.
	www.defaultrisk.com (859 words)

	GRO - Copulas
		In this paper, we address the problem of incorporating default dependency in intensity-based credit risk models.
		The first one consists in modelling the joint survival function directly with survival copulas of default times, whereas in the second approach, copulas are used to correlate the threshold exponential random variables.
		After having presented statistical inference, we finally provide financial applications which concern the life time value (attrition models), the link between default, prepayment and credit life, the measure of risk for a credit portfolio and the pricing of credit derivatives.
	gro.creditlyonnais.fr /content/rd/rd_math/copulas.htm (2278 words)

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