Show Summary Details

Page of

PRINTED FROM OXFORD HANDBOOKS ONLINE (www.oxfordhandbooks.com). © Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a title in Oxford Handbooks Online for personal use (for details see Privacy Policy and Legal Notice).

date: 22 August 2019

Abstract and Keywords

Credit derivatives are contracts whose payouts reference credit events. Depending upon the precise terms of the contract, credit events may include not just the default of a company, but also other events such as restructuring or conservatorship. These subtle differences of definition make little difference in the benign stages of the credit cycle, but when credit events start occurring, they assume high importance. This article begins by summarising some of the most common credit derivative contracts. It then analyses the Gaussian copula model, other copula models, base correlations, pricing bespoke collateralised debt obligations, developments since the Gaussian copula and base correlations, the portfolio loss distribution, and stochastic recovery.

Keywords: credit derivative contracts, Gaussian copula model, collateralised debt obligations, base correlations

Access to the complete content on Oxford Handbooks Online requires a subscription or purchase. Public users are able to search the site and view the abstracts and keywords for each book and chapter without a subscription.

Please subscribe or login to access full text content.

If you have purchased a print title that contains an access token, please see the token for information about how to register your code.

For questions on access or troubleshooting, please check our FAQs, and if you can''t find the answer there, please contact us.