A perspective on credit derivatives

Batten, J. and Hogan, W. 2002, A perspective on credit derivatives, International review of financial analysis, vol. 11, no. 3, pp. 251-278.

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Title A perspective on credit derivatives
Author(s) Batten, J.
Hogan, W.
Journal name International review of financial analysis
Volume number 11
Issue number 3
Start page 251
End page 278
Publisher Elsevier BV, North-Holland
Place of publication Amsterdam, Netherlands
Publication date 2002
ISSN 1057-5219
1873-8079
Keyword(s) Credit risk
Credit derivatives
Credit default swaps
Credit-linked notes
Credit spreads
Total return swaps
Summary This contribution offers an explanation of credit derivatives as a group of financial instruments having a common purpose being the managing of credit exposures, and thus credit or default risk. This paper explores the links between their economic and financial manifestations and the legal bases for their widespread application. To ensure an understanding of the purposes served by each of the main types of credit derivatives, a detailed scrutiny of individual instruments is undertaken. Issues relating law and economics to trading in this type of derivative are investigated, then pricing issues and empirical evidence are considered. A summary brings together the range of features bearing upon the effective development of a market in these financial instruments.
Language eng
Field of Research 150201 Finance
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2002, Elsevier Science Ltd.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30001451

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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