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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.
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.