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Topic: Credit default swap

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	Bloomberg Press Bookstore
		The growth of the credit derivatives market has produced a liquid market in credit default swaps across the credit curve, and this liquidity has led many investors to access both the credit derivative and the cash bond markets to meet their investment requirements.
		Of course it closely concerns credit default swaps—or rather, one particular aspect of their trading, analysis, and performance—and so readers should be familiar with the credit default swap (henceforth CDS) as a financial instrument.
		Credit derivatives were introduced around 1994, although a liquid market did not develop until a few years after that.
	www.ordering1.us /bloombergbooks/product.php?sid=1&ccamp=RETAIL&pid=264 (1296 words)

	CMS BondEdge-fixed income portfolio and credit risk analytics
		In certain cases, banks that have purchased protection under a credit default swap are the same banks that have loaned money to an obligor and are therefore in a position to approve or accept a debt restructuring by that obligor, which would then trigger a payment under the default swap agreement.
		The price of protection (the swap spread) for this kind of swap is not simply the sum of the cost of protection for the individual names in the basket, since the expected loss on the basket of names depends upon the default correlation among the issuers in the basket.
		While a discussion of default risk correlation is beyond the scope of this article, suffice it to say that there is no standard way of measuring default correlations and that the correlation assumptions used make a substantial impact on the valuation of a basket default swap.
	www.cmsbondedge.com /b2b/bb_cred_def_swaps.htm (1387 words)

	Credit Default Swaps (Site not responding. Last check: 2007-10-16)
		The definitions of a Credit Event and the settlement mechanism used to determine the Contingent Payment are flexible and determined by negotiation between the counterparties at the inception of the transaction.
		Some forms of credit exposure, such as the business concentration risk to key customers faced by many corporates (meaning not only the default risk on accounts receivable, but also the risk of customer replacement cost), or the exposure employees face to their employers in respect of non-qualified deferred compensation, are simply not transferable at all.
		Credit Swaps are therefore fast becoming an important source of investment opportunity and portfolio diversification for banks, insurance companies (both monolines and traditional insurers), and other institutional investors who would otherwise continue to accumulate concentrations of lower-quality assets due to their own high funding costs.
	www.ciberconta.unizar.es /bolsa/credit1.htm (1817 words)

	Credit default swap - Wikipedia, the free encyclopedia
		A credit default swap is priced using a model that takes four inputs: the issue premium, the recovery rate, the credit curve for the reference entity and the Libor curve.
		The Office of the Comptroller of the Currency reported the notional amount on outstanding credit derivatives from 882 reporting banks to be $5.472 trillion at the end of March, 2006.
		The credit default swap spread should actually compensate the investor for the default likelihood of the underlying reference credit which is independent of bank risk.
	en.wikipedia.org /wiki/Credit_default_swap (2055 words)

	CMS BondEdge-fixed income portfolio and credit risk analytics
		In certain cases, banks that have purchased protection under a credit default swap are the same banks that have loaned money to an obligor and are therefore in a position to approve or accept a debt restructuring by that obligor, which would then trigger a payment under the default swap agreement.
		The price of protection (the swap spread) for this kind of swap is not simply the sum of the cost of protection for the individual names in the basket, since the expected loss on the basket of names depends upon the default correlation among the issuers in the basket.
		While a discussion of default risk correlation is beyond the scope of this article, suffice it to say that there is no standard way of measuring default correlations and that the correlation assumptions used make a substantial impact on the valuation of a basket default swap.
	www.interactivedata-fia.com /b2b/bb_cred_def_swaps.htm (1387 words)

	Credit derivatives - regulations in Hong Kong
		Therefore, the credit linked note can be considered as a transaction composed of a regular note issued by the issuer and a credit default swap in which the issuer is a protection buyer.
		A credit default swap or a total return swap which is recognised as a protection of the underlying asset for capital adequacy purposes should be regarded as a guarantee and reported as an indirect off-balance-sheet exposure (commitment and contingency) to the protection seller in the Return of Large Exposures.
		In a credit linked note which is recognised as a protection of the underlying asset for capital adequacy purposes, the protection buyer (the note issuer) should report its exposure to the counterparty of the underlying asset as an exposure secured by a cash deposit.
	www.credit-deriv.com /hongkong.htm (1830 words)

	Equity Default Swap
		As with a credit default swap, an equity default swap is a vehicle for one party to provide another protection against some possible event relating to some reference asset.
		With an equity default swap, the reference asset is some company's stock, and protection is provided against a dramatic decline in the price of that stock.
		When a credit default swap is triggered by a corporate default, that corporation's stock price will typically have fallen to almost 0.
	www.riskglossary.com /articles/equity_default_swap.htm (822 words)

	Credit Default Swaps
		A credit default swap is a contract that provides protection against credit loss on an underlying reference entity as a result of a specific credit event.
		The value of a default swap depends not only on the credit quality of the underlying reference entity but also on the credit quality of the writer, also referred to as the counterparty.
		We consider a typical credit default swap, a swap on a bond with a maturity greater than or equal to the default swap’s maturity, a counterparty default probability of 0, periodic premium payments, and the swap starts at time t = 0.
	www.fincad.com /support/developerfunc/mathref/cds.htm (2518 words)

	Credit Default Swaps - A Reuters introduction
		Credit default swaps are derivative instruments based on underlying fixed income securities such as corporate and government bonds.
		Credit default swaps are used for hedging as they enable investors to insure their bond holdings against the risk of default.
		Credit default swap traders have to monitor the fixed income markets and the factors that could cause debt issuers to default because credit default swap prices are linked to those of their underlying instruments and are affected by the market’s view of default probability.
	www.about.reuters.com /productinfo/s/credit_default_swaps (442 words)

	[No title]
		Credit risk is a significant element of the galaxy of risks facing the derivatives dealer and the derivatives end-user.
		Default means that the counterparty to which one is exposed will cease to make payments on obligations into which it has entered because it is unable to make such payments.
		The credit exposure is equal to the greater of the current replacement value of the outstanding contracts plus the expected maximum increase in value of the contract over the remaining life of the contract for a given confidence interval or zero.
	www.finpipe.com /creditrsk.htm (1363 words)

	Welcome to CreditTrade (Site not responding. Last check: 2007-10-16)
		There are a number of Credit Events that can be included in the contract: a bankruptcy by the Reference Credit or a Restructuring or Failure to Pay by a pre-agreed asset or assets ("Reference Obligation") issued by the Reference Credit.
		The CDSs is therefore used to manage the Credit Line of the borrower in question and the need for a hedge arose because of a positive view of the Reference Credit.
		A common methodology is to use the Asset Swap spread for the Reference Credit in the maturity of the CDS contract and to adjust it up or down based on factors such as expected financing rate and liquidity.
	www.credittrade.com /home/education/cds.aspx (1833 words)

	Default Swap Faults - CFO.com
		Further skepticism about credit default insurance is found in a survey conducted in August 2003 of 231 bankers and their customers, regulators, and observers by the Centre for the Study of Financial Innovation, in London.
		The advent of credit default insurance in the late 1990s led to the widespread expectation that banks would be more willing to make loans to companies, since the banks wouldn't be on the hook for defaults by borrowers.
		While the notional value of credit default swaps soared almost sixfold between 2001 and 2003, from $630 billion to $3.6 trillion, the percentage of bank assets made up of loans to companies fell from 20 percent to 17 percent during roughly the same interval.
	www.cfo.com /printable/article.cfm/3220014?f=options (1799 words)

	Equity default swaps
		Equity default swaps use the credit default swap technology, but not to transfer credit risk - they transfer the risk of major diminution in the market value of shares.
		Like in case of credit default swaps, equity default swaps have also been linked to notes and taken into the capital market in form of "credit linked notes" - you may also call them equity linked notes.
		Credit derivatives are contracts relating to the general credit of the reference entity.
	www.credit-deriv.com /eds.htm (616 words)

	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.
		Credit default options on single credits are extinguished upon default without any cashflows.
		However options on credit indices such as iTraxx and iBoxx include any defaulted entities in the intrinsic value of the option when exercised.
	en.wikipedia.org /wiki/Credit_default_option (188 words)

	CREDIT DERIVATIVES AND RISK MANAGEMENT
		Most of the credit derivatives literature is from the point of view of the investor, but what’s important to the investor is important to the issuer, because it affects the price that the investor will pay for the issuer’s securities.
		Credit derivatives may enhance the issuer’s credit quality to suit investor tastes, or may prove useful in guaranteeing a customer’s obligations under a long-term contract or lease.
		A credit default swap typically pays off at the occurrence of a "credit event" that amounts to a default, so would not be suitable for trading exposure to a non-performing loan portfolio — which is already in default.
	www.margrabe.com /creditderivatives.html (9933 words)

	Credit Default Swap Transactions (Site not responding. Last check: 2007-10-16)
		Credit Default Swaps are typically used to obtain capital relief.
		In this structure, the mortgage lender enters into a credit default swap agreement with an intermediary bank that guarantees to repay foreclosure-related losses on the lender’s mortgage portfolio.
		The intermediary bank then enters into a back-to-back swap agreement with a special purpose vehicle.
	www.pmieurope.com /cdswap.html (113 words)

	Credit Risk
		Credit derivatives are being combined with securitisation, enabling banks to free regulatory capital from their loan portfolios.
		"Credit default swaps formed the larger part of the deal because it was not a funding exercise.
		A default swap accounts for 89% of the notional amount, and credit-linked notes issued through a BNP SPV collateralised with French government bonds make up the remaining 11%.
	www.financewise.com /public/edit/riskm/credit/cre-ssec.htm (753 words)

	Bill Cara: Credit-Default Swaps "issues" need addressing, Thurs., Oct. 19, 2006, 4:40 PM (Site not responding. Last check: 2007-10-16)
		Credit-Default Swaps "issues" need addressing, Thurs., Oct. 19, 2006, 4:40 PM The Credit-Default Swaps market is concerning the biggest firms on Wall Street and around the world.
		Now the credit default swap market is more than four times the size of the corporate bond market in nominal terms.
		The effect of credit default swaps and collateralized debt obligations on default in the short run is modest at best (even the article says CDOs lower borrowing costs by 3-5 basis points).
	www.billcara.com /archives/2006/10/creditdefault_swaps_issues_nee.html (2689 words)

	credit default swap Definition
		A specific kind of counterparty agreement which allows the transfer of third party credit risk from one party to the other.
		One party in the swap is a lender and faces credit risk from a third party, and the counterparty in the credit default swap agrees to insure this risk in exchange of regular periodic payments (essentially an insurance premium).
		Understand why the use of credit cards is recommended only for those who intend to pay off the balance each month, and consider the types of credit cards carefully.
	www.investorwords.com /5876/credit_default_swap.html (288 words)

	What’s A Default
		Since credit default events had been rare to that point—Rite Aid, Armstrong Corp. and school-bus manufacturer Laidlaw being the only three high-profile examples—several banks were caught completely off-guard by the Conseco situation.
		At the moment, credit default swaps can be triggered by either the buyer or seller of the swap, in order not to leave the seller hanging with a contingent liability.
		Rahl acknowledges that credit trigger levels need to be precise, but she also worries that they introduce a certain amount of systemic risk.
	bodurtha.georgetown.edu /IAS_39/Capital-VaR/Lieb_whats_a_default_2001.htm (3372 words)

	SS&C eNewsletter Article: Credit Default Swap Concerns
		With the credit derivatives market now surpassing $5 trillion, it is difficult to continue to call it a niche market.
		A Credit default swap is an agreement by one party to accept a premium at regular intervals in return for making a larger payment if a specific company defaults, goes bankrupt or suffers a negative credit event.
		The Credit Default Swap module of Debt & Derivatives is specifically designed to value and account for credit default swap (CDS) contracts.
	www.ssctech.com /e-news/article.asp?V=7&A=2693 (648 words)

	Journal of Risk - Credit default swap valuation with counterparty default risk and market risk
		The model is applied to the valuation of vanilla credit default swaps with counterparty default risk and to the valuation of basket credit default swaps.
		The pricing error in credit default swaps can be substantial by ignoring the correlation between market risk and credit risk, as well as between counterparty credit risk and reference credit risk.
		In addition, because the sensitivity of basket credit default swap rates to market risk increases with the number of reference entities, the valuation error can be more substantial in pricing basket credit default swaps than credit default swaps with a single reference entity when market risk is ignored.
	www.thejournalofrisk.com /public/showPage.html?page=102721 (297 words)

	Credit Default Swap Players Play Hard
		Another source stresses that credit arbitrage funds are not the only ones fueling growth in credit derivatives and collateralized debt obligations (CDOs).
		Credit has so far not been fully arbitraged, as derivatives have not yet permeated the credit world.
		Credit derivatives lawyers in London say this includes hedge funds – not least considering how broad they as a group have become.
	www.fenews.com /fen42/euro_angles/euro_angles.html (1402 words)

	Wilmott Forums - Credit Default Swap -Trader's Perspective?? (Site not responding. Last check: 2007-10-16)
		For practical purposes,can u look at a Credit Default Swap as a short Put spread on the bond, instead of a pure short put on the bond.The reason for this is that For eg, if i am short the CDS, and lets say the underlying reference asset defaults.
		Default swaps that pay over time also cease paying upon a credit event that's why you have to include the credit spread in the discount factor.
		is it from convexity adjustment on the swap yc?
	www.wilmott.com /messageview.cfm?catid=8&threadid=2888 (1849 words)

	PRESS RELEASE Kamakura Adds Implied Credit Default Swap Quotes for 16,000 Corporates to KRIS Service: Default ... (Site not responding. Last check: 2007-10-16)
		This credit spread information, combined with our dramatically expanded default correlation capability, gives KRIS users and users of the Kamakura Risk Manager enterprise wide software package unparalleled accuracy in modeling total risk and correlated default in the manner recommended recently by Dr. John Frye of the Federal Reserve Bank of Chicago.
		The implied credit default swap quotes are an add-on to the basic KRIS default probability and correlation service.
		The default correlations are consistent with a recent paper by Kamakura's Professor Robert Jarrow and Dr. Donald R. van Deventer (RISK Magazine, January 2005) and a subsequent article by Dr. John Frye in the July issue of RISK.
	www.marketwire.com /mw/release_html_b1?release_id=107666 (760 words)

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