Credit Derivatives Explained. Market, Products, and Regulations PDF
86 Pages·2001·0.327 MB·English
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HIGHLIGHTS■ Credit derivatives ate revolutionising the trading of credit risk.■ The credit derivative market current outstanding notional is now close to SI trillion.■ Credit default snaps dominate me market and are the building block for most credit derivative structures■ While banks are the major users of credit derivatives, insurers and re-insurers are growing in importance as users of credit derivatives.■ The main focus of mis report is on explaining the mechanics, risks and uses of the different types of credit derivative■ We set out die various bank capital treatments for credit derivatives and discuss the New Basel Capital Accord.■ We review the legal documentation for credit derivatives.■ We discuss the effect of FAS 133 and IAS 39 on credit derivatives.
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