Credit Default Swaps

The rapid growth of credit derivatives has
revolutionized the trading and management of credit
risk. The goal of this diploma thesis is to outline
the products and market participants of the credit
derivatives market in the first step. The focus of
this thesis will be the financial derivative credit
default swap (CDS). A detailed explanation of credit
default swaps is given in the book starting with the
product definition and the structure of this
financial derivative. Further on, the mechanics of
the premium and the protection leg will be
discussed. With this knowledge, the thesis
introduces two different types of valuation models
for credit default swaps. In the first step the CDS
is valued analytically and then the Market Pricing
Approach is shown as a second valuation method. In
the fourth chapter of the book the implementation of
credit default swaps is presented. Various examples
and especially the use of CDS on mortgage securities
will be discussed. This thesis gives background
information about the current financial crisis and
is useful for university students and everybody who
is interested in financial derivatives markets and
instruments.

Autorentext

Jan Rottleb, Dipl.-Kfm.: University of Siegen, Faculty of Business Administration and Economics, Information Systems and Business Law; 1st major: finance and bank management - 2nd major: international management.

Klappentext

The rapid growth of credit derivatives has revolutionized the trading and management of credit risk. The goal of this diploma thesis is to outline the products and market participants of the credit derivatives market in the first step. The focus of this thesis will be the financial derivative credit default swap (CDS). A detailed explanation of credit default swaps is given in the book starting with the product definition and the structure of this financial derivative. Further on, the mechanics of the premium and the protection leg will be discussed. With this knowledge, the thesis introduces two different types of valuation models for credit default swaps. In the first step the CDS is valued analytically and then the Market Pricing Approach is shown as a second valuation method. In the fourth chapter of the book the implementation of credit default swaps is presented. Various examples and especially the use of CDS on mortgage securities will be discussed. This thesis gives background information about the current financial crisis and is useful for university students and everybody who is interested in financial derivatives markets and instruments.