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Introduction to credit derivatives

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Rod Medallion
Rod Medallion

Introduction to credit derivatives

Economy & FinanceBusiness
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Introduction To Credit Derivatives Stephen P. D’Arcy and Xinyan Zhao
What are Credit Derivatives? ,[object Object],[object Object],[object Object]
What are Derivatives? ,[object Object],[object Object],[object Object]
What is Credit Risk ? ,[object Object]
Growth in Credit Derivatives Source:BBA Credit Derivatives Report 2006
Types of credit derivatives ,[object Object],[object Object],[object Object]
What is Credit default swap? ,[object Object],[object Object]
Example ,[object Object],[object Object],[object Object],[object Object]
Exhibit ,[object Object],Bank A Buyer Insurance Company C Seller Steel company Reference Asset Contingent Payment On Credit Event Premium Fee Credit Risk
What is credit spread option? ,[object Object],[object Object],[object Object],[object Object],[object Object]
Credit Spread ,[object Object],[object Object],[object Object],[object Object]
Example ,[object Object],[object Object],[object Object],[object Object]
Exhibit Profit Spot price Strike price
Credit-linked notes ,[object Object],[object Object],[object Object],[object Object]
Example ,[object Object],[object Object],[object Object],[object Object]
Exhibit Bank A Institutional investors Steel Company $1 Million fixed or floating coupon,if defaults or declares bankruptcy the investors receive an amount equal to the recovery rate $1million 500b p Steel Company
Credit Derivatives Market Participants Source:British Bankers Association (BBA) 2003/2004 Credit Derivatives Report
For the protection buyer (the risk seller) ,[object Object],[object Object]
Credit Derivatives Market Participants Source:British Bankers Association (BBA)
For the protection seller (the risk buyer) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Questions ,[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object]

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Introduction to credit derivatives

  • 1. Introduction To Credit Derivatives Stephen P. D’Arcy and Xinyan Zhao
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  • 5. Growth in Credit Derivatives Source:BBA Credit Derivatives Report 2006
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  • 13. Exhibit Profit Spot price Strike price
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  • 16. Exhibit Bank A Institutional investors Steel Company $1 Million fixed or floating coupon,if defaults or declares bankruptcy the investors receive an amount equal to the recovery rate $1million 500b p Steel Company
  • 17. Credit Derivatives Market Participants Source:British Bankers Association (BBA) 2003/2004 Credit Derivatives Report
  • 18.
  • 19. Credit Derivatives Market Participants Source:British Bankers Association (BBA)
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  • 23.