By Michael Duncan
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Extra resources for Credit Derivatives: An introduction to the products, applications, participants and pricing.
Upon bankruptcy, creditors owed money by the defaulting company file claims against the company‟s assets. The liquidator then sells these assets and the proceeds are used to pay off as much of the claims as possible. e. senior bond holders get paid before more junior debt holders, and equity holders only receive any remaining residual amounts after the debt holders have been paid) Therefore the above equations can be thought of as that of a primer to default probabilities incorporating a recovery rate, which follows.
Because the credit risk from cash products could now be isolated, it could then be traded in its own right and thus a new asset class was born. Better still participants could become involved in the market without the need to be concerned with the issues and costs of aspects such as administering loans or even dealing with the borrower. Indeed the underlying reference assets for the credit derivatives did not even have to exist as such; they could be based on the perceived credit perception of companies, industries or even countries.
MGSM 952, Research Project, November 2004, London Page 44 Credit Derivatives: An introduction to the products, applications, participants and pricing. Unfortunately the above method is only useful where there is a low probability of default and changes in CDS spreads are fairly low as contingent payments are not incorporated in the approach. Replication Approach to Valuation98 This methodology values a CDS by evaluating the cost of a portfolio that replicates the cashflows/payoffs arsing from the CDS.
Credit Derivatives: An introduction to the products, applications, participants and pricing. by Michael Duncan