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- W2034142697 abstract "The credit derivatives market, widely regarded as the fastest growing sector of the derivatives industry, is estimated at over $5 trillion in average outstanding notional principal worldwide. Credit default swaps account for approximately 73% of the market. Options on credit default swaps—known as CDS swaptions—have recently become popular among end users. CDS swaptions come in two general varieties: calls and puts written on CDS, and cancelable CDS. A cancelable CDS includes an embedded option to terminate a CDS contract (an embedded CDS swaption). The authors describe credit default swaptions and their uses in creating synthetic collateralized debt obligations, and illustrate accessible valuation models." @default.
- W2034142697 created "2016-06-24" @default.
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- W2034142697 date "2005-06-30" @default.
- W2034142697 modified "2023-09-26" @default.
- W2034142697 title "Credit Default Swaptions" @default.
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- W2034142697 doi "https://doi.org/10.3905/jfi.2005.523092" @default.
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