Credit Default Swaps - Pricing, Valuation and Investment Applications

Application of Bloomberg CDS pricing tool

Dossier / Travail , 2010 , 25 Pages , Note: 67%

Gestion d'entreprise - Investissement et Financement

“A credit default swap (CDS) is a bilateral agreement designed explicitly to shift credit risk between two parties. In a CDS, one party (protection buyer) pays a periodic fee to another party (protection seller) in return for compensation for default (or similar credit event) by a reference entity”.

Credit Default Swaps (CDS) are by far the most popular credit derivatives and have proven to be the most successful financial innovation. The structure of CDS is somewhat similar to the insurance policy. The market of CDS has heavily expanded and is traded in Over-The-Counter (OTC) market.

This essay will briefly address the structure and the market of CDS, outlining its common products usage by some large institutions. Following the review of financial structure and pricing of CDS. And finally, this essay will also evaluate the risk management and investment applications of such products.

Table of contents

List of figures

1. Introduction

2. Literature Review

3. Application

3.1 Development of the CDS Market

3.2 Pricing and Valuation of CDS

3.3 Risk Management and Investment Applications

4. Conclusion

Appendices

References

• Université: University of Westminster (Westminster Business School)
• Cours: Financial Derivatives
• Note: 67%
• Auteur: Panagiotis Papadopoulos (Auteur)
• Année de publication: 2010
• Pages: 25
• N° de catalogue: V170187
• ISBN (ebook): 9783640891597
• ISBN (Livre): 9783640891498
• Langue: anglais
• mots-clé: CDS, Credit Default Swaps, Bloomberg, Derivatives, Pricing, Valuation, Financial Derivatives, JPMorgan model, Bewertung, Auspreisung, Finanzderivate