SlideShare une entreprise Scribd logo

Credit Derivatives

•Télécharger en tant que PPT, PDF•
•
av vedpuriswar
av vedpuriswar

Introduction to Credit derivatives

Économie & financeBusiness
1  sur  57
Credit Derivatives September 11, 2009 By A. V. Vedpuriswar
Historical perspective on credit derivatives ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Historical perspective on credit markets ,[object Object],[object Object],[object Object],[object Object],[object Object]
Innovations from Banker’s Trust (1) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Innovations from Banker’s Trust (2) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Innovations from Banker’s Trust (2) cont.. ,[object Object],[object Object],[object Object],[object Object]
The emergence of Credit Default Swaps ,[object Object],[object Object],[object Object],[object Object],[object Object]
What is a CDS? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
CDS vs Insurance ,[object Object],[object Object],[object Object],[object Object],[object Object]
The Basics of CDS ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Who is the reference entity? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Credit events ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
How much will be paid? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Cheapest to deliver bond ,[object Object],[object Object],[object Object]
Dynamic Credit Default Swap ,[object Object],[object Object],[object Object]
Credit Intermediation Swap ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Basket Credit Default Swap ,[object Object],[object Object],[object Object],[object Object]
Constructing a Basket Credit Default Swap ,[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object]
Credit Indices ,[object Object],[object Object]
CDS Indexes ,[object Object],[object Object],[object Object],[object Object],[object Object]
CDS Indexes ,[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
Valuation of CDS ,[object Object],[object Object],[object Object],[object Object]
Related instruments ,[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],Related instruments
Total return swap ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object]
Credit linked notes ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object]
Credit spread option ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Credit (Spread) Option ,[object Object],[object Object],[object Object],[object Object],[object Object]
Collateralised Debt Obligations ,[object Object],[object Object],[object Object],[object Object]
Synthetic CDO ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
[object Object],[object Object]
[object Object]
[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],Year Default probability Survival probability Discount factor (e -rt ) PV of expected payment 1 .02 .98 .9512 .9322 s 2 .0196 .9604 .9048 .8690 s 3 .0192 .9412 .8607 .8101 s 4 .0188 .9224 .8187 .7552 s 5 .0184 .9040 .7788 .7040 s 4.0705 s
Solution Cont.. ,[object Object],Time (Years) Probability of default Expected pay off Discount factor PV of expected pay off 0.5 .0200 (.6) (.02) = .0120 .9753 .0117 1.5 .0196 (.6) (.0196) = .0118 .9277 .0109 2.5 .0192 (.6) (.0192) = .0115 .8825 .0102 3.5 .0188 (.6) (.0188) = .0113 .8395 .0095 4.5 .0184 (.6) (.0184) = .0111 .7985 .0088 .0511
Solution Cont.. ,[object Object],Time (Years) Probability of default Expected accrual payment Discount factor PV of expected accrual payment 1 .0200 .0100 s .9753 .0097 s 2 .0196 .0098 s .9277 .0091 s 3 .0192 .0096 s .8825 .0085 s 4 .0188 .0094 s .8395 .0079 s 5 .0184 .0092 s .7985 .0074 s .0426 s
Solution Cont.. ,[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],Year Probability of default Survival probability e -(.06)t Present value 1 .03 .97 .9418 .9135 2 .0291 .9409 .8869 .8345 3 .0282 .9127 .8353 .7624 4 .0274 .8853 .7866 .6964 3.2068
Solution (Cont..) ,[object Object],[object Object],Year Probability of default e -(.06)t Present value 0.5 .03 .9705 .0291 1.5 .0291 .9139 .0266 2.5 .0282 .8607 .0243 3.5 .0274 .8106 .02221 .1022
Solution (Cont..) ,[object Object],[object Object],[object Object],[object Object],[object Object],Year Probability of default e -(.06)t Present value 0.5 .03 .9705 .0291 1.5 .0291 .9139 .0266 2.5 .0282 .8607 .0243 3.5 .0274 .8106 .02221 .1022

Recommandé

FIM - Credit Derivatives PPT
FIM - Credit Derivatives PPTFIM - Credit Derivatives PPT
FIM - Credit Derivatives PPT
Bishnu Kumar
 
Credit Risk
Credit RiskCredit Risk
Credit Risk
Barendra Kumar Bisoyi
 
Credit risk (3)
Credit risk (3)Credit risk (3)
Credit risk (3)
Ujjwal 'Shanu'
 
Credit Risk Management ppt
Credit Risk Management pptCredit Risk Management ppt
Credit Risk Management ppt
Sneha Salian
 
Sg credit derivatives overview
Sg credit derivatives overviewSg credit derivatives overview
Sg credit derivatives overview
ajohns5
 
Liquidity Risk Measurement
Liquidity Risk MeasurementLiquidity Risk Measurement
Liquidity Risk Measurement
Raja Abdarrahman
 
Credit Risk Management Presentation
Credit Risk Management PresentationCredit Risk Management Presentation
Credit Risk Management Presentation
Sumant Palwankar
 
Credit risk
Credit riskCredit risk
Credit risk
Ujjwal 'Shanu'
 

Recommandé

FIM - Credit Derivatives PPT
FIM - Credit Derivatives PPTFIM - Credit Derivatives PPT
FIM - Credit Derivatives PPT
Bishnu Kumar
 
Credit Risk
Credit RiskCredit Risk
Credit Risk
Barendra Kumar Bisoyi
 
Credit risk (3)
Credit risk (3)Credit risk (3)
Credit risk (3)
Ujjwal 'Shanu'
 
Credit Risk Management ppt
Credit Risk Management pptCredit Risk Management ppt
Credit Risk Management ppt
Sneha Salian
 
Sg credit derivatives overview
Sg credit derivatives overviewSg credit derivatives overview
Sg credit derivatives overview
ajohns5
 
Liquidity Risk Measurement
Liquidity Risk MeasurementLiquidity Risk Measurement
Liquidity Risk Measurement
Raja Abdarrahman
 
Credit Risk Management Presentation
Credit Risk Management PresentationCredit Risk Management Presentation
Credit Risk Management Presentation
Sumant Palwankar
 
Credit risk
Credit riskCredit risk
Credit risk
Ujjwal 'Shanu'
 
Credit Risk Management
Credit Risk ManagementCredit Risk Management
Credit Risk Management
ankan84
 
Credit default swap aapu
Credit default swap aapuCredit default swap aapu
Credit default swap aapu
Fahad Aapu
 
Credit risk models
Credit risk modelsCredit risk models
Credit risk models
Ujjwal 'Shanu'
 
INTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKSINTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKS
IBS Business School
 
9_Advanced Credit Risk Management Methods
9_Advanced Credit Risk Management Methods9_Advanced Credit Risk Management Methods
9_Advanced Credit Risk Management Methods
Dr Darren O'Connell AGIA
 
"Credit Risk-Probabilities Of Default"
"Credit Risk-Probabilities Of Default""Credit Risk-Probabilities Of Default"
"Credit Risk-Probabilities Of Default"
Arun Singh
 
Risk management in financial institution
Risk management in financial institutionRisk management in financial institution
Risk management in financial institution
Ujjwal 'Shanu'
 
Introduction to Liquidity Risk Management
Introduction to Liquidity Risk ManagementIntroduction to Liquidity Risk Management
Introduction to Liquidity Risk Management
Mohamed Farouk, CFA, CFTe I
 
01.2 credit risk factors and measures
01.2 credit risk factors and measures01.2 credit risk factors and measures
01.2 credit risk factors and measures
crmbasel
 
VaR Or Expected Shortfall
VaR Or Expected ShortfallVaR Or Expected Shortfall
VaR Or Expected Shortfall
Alex Kouam
 
Chapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial InstitutionsChapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial Institutions
Rusman Mukhlis
 
Credit Default Swaps
Credit Default Swaps Credit Default Swaps
Credit Default Swaps
Fine Advice Private Limited
 
Liquidity Risk
Liquidity RiskLiquidity Risk
Liquidity Risk
nikatmalik
 
Credit default swaps
Credit default swapsCredit default swaps
Credit default swaps
Tata Mutual Fund
 
All About Fixed Income Instruments
All About Fixed Income InstrumentsAll About Fixed Income Instruments
All About Fixed Income Instruments
guest241aa3
 
Counterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel IIICounterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel III
Häner Consulting
 
Credit risk management lecture
Credit risk management lectureCredit risk management lecture
Credit risk management lecture
Aloke Saborna
 
Credit risk management
Credit risk managementCredit risk management
Credit risk management
azmatmengal
 
Credit Risk Management
Credit Risk ManagementCredit Risk Management
Credit Risk Management
Farouk Nasser
 
Risk management basel ii
Risk management basel iiRisk management basel ii
Risk management basel ii
Ujjwal 'Shanu'
 
SWAPS-Final2
SWAPS-Final2SWAPS-Final2
SWAPS-Final2
Nidhish Singh, BA (Hons) UK, ACCA, CISI
 
Chapter 14 collateralization debt obligations
Chapter 14 collateralization debt obligationsChapter 14 collateralization debt obligations
Chapter 14 collateralization debt obligations
Quan Risk
 

Contenu connexe

Tendances

Credit Risk Management
Credit Risk ManagementCredit Risk Management
Credit Risk Management
ankan84
 
Credit default swap aapu
Credit default swap aapuCredit default swap aapu
Credit default swap aapu
Fahad Aapu
 
INTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKSINTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKS
IBS Business School
 
"Credit Risk-Probabilities Of Default"
"Credit Risk-Probabilities Of Default""Credit Risk-Probabilities Of Default"
"Credit Risk-Probabilities Of Default"
Arun Singh
 
Risk management in financial institution
Risk management in financial institutionRisk management in financial institution
Risk management in financial institution
Ujjwal 'Shanu'
 
Chapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial InstitutionsChapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial Institutions
Rusman Mukhlis
 
Credit risk management lecture
Credit risk management lectureCredit risk management lecture
Credit risk management lecture
Aloke Saborna
 
Credit risk management
Credit risk managementCredit risk management
Credit risk management
azmatmengal
 
Risk management basel ii
Risk management basel iiRisk management basel ii
Risk management basel ii
Ujjwal 'Shanu'
 

Tendances (20)

Credit Risk Management
Credit Risk ManagementCredit Risk Management
Credit Risk Management
 
Credit default swap aapu
Credit default swap aapuCredit default swap aapu
Credit default swap aapu
 
Credit risk models
Credit risk modelsCredit risk models
Credit risk models
 
INTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKSINTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKS
 
9_Advanced Credit Risk Management Methods
9_Advanced Credit Risk Management Methods9_Advanced Credit Risk Management Methods
9_Advanced Credit Risk Management Methods
 
"Credit Risk-Probabilities Of Default"
"Credit Risk-Probabilities Of Default""Credit Risk-Probabilities Of Default"
"Credit Risk-Probabilities Of Default"
 
Risk management in financial institution
Risk management in financial institutionRisk management in financial institution
Risk management in financial institution
 
Introduction to Liquidity Risk Management
Introduction to Liquidity Risk ManagementIntroduction to Liquidity Risk Management
Introduction to Liquidity Risk Management
 
01.2 credit risk factors and measures
01.2 credit risk factors and measures01.2 credit risk factors and measures
01.2 credit risk factors and measures
 
VaR Or Expected Shortfall
VaR Or Expected ShortfallVaR Or Expected Shortfall
VaR Or Expected Shortfall
 
Chapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial InstitutionsChapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial Institutions
 
Credit Default Swaps
Credit Default Swaps Credit Default Swaps
Credit Default Swaps
 
Liquidity Risk
Liquidity RiskLiquidity Risk
Liquidity Risk
 
Credit default swaps
Credit default swapsCredit default swaps
Credit default swaps
 
All About Fixed Income Instruments
All About Fixed Income InstrumentsAll About Fixed Income Instruments
All About Fixed Income Instruments
 
Counterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel IIICounterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel III
 
Credit risk management lecture
Credit risk management lectureCredit risk management lecture
Credit risk management lecture
 
Credit risk management
Credit risk managementCredit risk management
Credit risk management
 
Credit Risk Management
Credit Risk ManagementCredit Risk Management
Credit Risk Management
 
Risk management basel ii
Risk management basel iiRisk management basel ii
Risk management basel ii
 

En vedette

Chapter 14 collateralization debt obligations
Chapter 14 collateralization debt obligationsChapter 14 collateralization debt obligations
Chapter 14 collateralization debt obligations
Quan Risk
 
Managing Risk Around Capital Structure, Liquidity, and Mission
Managing Risk Around Capital Structure, Liquidity, and Mission Managing Risk Around Capital Structure, Liquidity, and Mission
Managing Risk Around Capital Structure, Liquidity, and Mission
jsmatteo
 
Recent Developments in Derivatives Regulation Reform
Recent Developments in Derivatives Regulation ReformRecent Developments in Derivatives Regulation Reform
Recent Developments in Derivatives Regulation Reform
rimonlaw
 
The Dodd-Frank Software Solution
The Dodd-Frank Software SolutionThe Dodd-Frank Software Solution
The Dodd-Frank Software Solution
WG Consulting
 

En vedette (20)

SWAPS-Final2
SWAPS-Final2SWAPS-Final2
SWAPS-Final2
 
Chapter 14 collateralization debt obligations
Chapter 14 collateralization debt obligationsChapter 14 collateralization debt obligations
Chapter 14 collateralization debt obligations
 
ConsenSys Ethereum Total Return Swap in Japanese
ConsenSys Ethereum Total Return Swap in JapaneseConsenSys Ethereum Total Return Swap in Japanese
ConsenSys Ethereum Total Return Swap in Japanese
 
Beta Programs And The Project Manager
Beta Programs And The Project ManagerBeta Programs And The Project Manager
Beta Programs And The Project Manager
 
Collaborative Gene Project BETA presented at the IDSA Global Conference 2009
Collaborative Gene Project BETA presented at the IDSA Global Conference 2009Collaborative Gene Project BETA presented at the IDSA Global Conference 2009
Collaborative Gene Project BETA presented at the IDSA Global Conference 2009
 
TEMPLATE BETA_docu
TEMPLATE BETA_docuTEMPLATE BETA_docu
TEMPLATE BETA_docu
 
Handbook of credit derivatives and structured credit strategies, Morgan Stanl...
Handbook of credit derivatives and structured credit strategies, Morgan Stanl...Handbook of credit derivatives and structured credit strategies, Morgan Stanl...
Handbook of credit derivatives and structured credit strategies, Morgan Stanl...
 
Mfs
MfsMfs
Mfs
 
Credit Derivatives Case Study
Credit Derivatives Case StudyCredit Derivatives Case Study
Credit Derivatives Case Study
 
Things we learned beta 2
Things we learned beta 2Things we learned beta 2
Things we learned beta 2
 
Things we learned beta 1
Things we learned beta 1Things we learned beta 1
Things we learned beta 1
 
Liquidity, capital adequacy and operating efficiency of commercial banks in k...
Liquidity, capital adequacy and operating efficiency of commercial banks in k...Liquidity, capital adequacy and operating efficiency of commercial banks in k...
Liquidity, capital adequacy and operating efficiency of commercial banks in k...
 
Managing Risk Around Capital Structure, Liquidity, and Mission
Managing Risk Around Capital Structure, Liquidity, and Mission Managing Risk Around Capital Structure, Liquidity, and Mission
Managing Risk Around Capital Structure, Liquidity, and Mission
 
Recent Developments in Derivatives Regulation Reform
Recent Developments in Derivatives Regulation ReformRecent Developments in Derivatives Regulation Reform
Recent Developments in Derivatives Regulation Reform
 
Dodd frank title VII
Dodd frank title VIIDodd frank title VII
Dodd frank title VII
 
CFTC Swap Trade Reconstruction Polling Questions
CFTC Swap Trade Reconstruction Polling QuestionsCFTC Swap Trade Reconstruction Polling Questions
CFTC Swap Trade Reconstruction Polling Questions
 
The Practical Implementation of Dodd-Frank for End Users
The Practical Implementation of Dodd-Frank for End UsersThe Practical Implementation of Dodd-Frank for End Users
The Practical Implementation of Dodd-Frank for End Users
 
Swap Execution Facilities: Market Evolution and SEF Profiles
Swap Execution Facilities: Market Evolution and SEF ProfilesSwap Execution Facilities: Market Evolution and SEF Profiles
Swap Execution Facilities: Market Evolution and SEF Profiles
 
The Dodd-Frank Software Solution
The Dodd-Frank Software SolutionThe Dodd-Frank Software Solution
The Dodd-Frank Software Solution
 
CLEAR OR NOT CLEAR? CURRENT TRENDS ON THE OTC DERIVATIVES MARKET
CLEAR OR NOT CLEAR? CURRENT TRENDS ON THE OTC DERIVATIVES MARKETCLEAR OR NOT CLEAR? CURRENT TRENDS ON THE OTC DERIVATIVES MARKET
CLEAR OR NOT CLEAR? CURRENT TRENDS ON THE OTC DERIVATIVES MARKET
 

Similaire à Credit Derivatives

Credit Derivatives.pptx.........................
Credit Derivatives.pptx.........................Credit Derivatives.pptx.........................
Credit Derivatives.pptx.........................
MalkeetSingh85
 
Nishka october issue 2011
Nishka october issue 2011Nishka october issue 2011
Nishka october issue 2011
fuser588
 
Credit and Weather Derivatives
Credit and Weather DerivativesCredit and Weather Derivatives
Credit and Weather Derivatives
Macky Villagarcia
 
Bonds, preferred stocks and common stocks
Bonds, preferred stocks and common stocksBonds, preferred stocks and common stocks
Bonds, preferred stocks and common stocks
Salman Irshad
 
New microsoft word dfd
New microsoft word dfdNew microsoft word dfd
New microsoft word dfd
Ronak Patel
 

Similaire à Credit Derivatives (20)

Introduction to CDS
Introduction to CDSIntroduction to CDS
Introduction to CDS
 
CDS In India
CDS In IndiaCDS In India
CDS In India
 
Introduction to credit derivatives
Introduction to credit derivativesIntroduction to credit derivatives
Introduction to credit derivatives
 
CREDIT DERIVATIVES
CREDIT DERIVATIVESCREDIT DERIVATIVES
CREDIT DERIVATIVES
 
Credit Derivatives.pptx.........................
Credit Derivatives.pptx.........................Credit Derivatives.pptx.........................
Credit Derivatives.pptx.........................
 
7_Credit Derivatives
7_Credit Derivatives7_Credit Derivatives
7_Credit Derivatives
 
Nishka october issue 2011
Nishka october issue 2011Nishka october issue 2011
Nishka october issue 2011
 
Credit and Weather Derivatives
Credit and Weather DerivativesCredit and Weather Derivatives
Credit and Weather Derivatives
 
Investment Fundamentals
Investment Fundamentals Investment Fundamentals
Investment Fundamentals
 
Bonds, preferred stocks and common stocks
Bonds, preferred stocks and common stocksBonds, preferred stocks and common stocks
Bonds, preferred stocks and common stocks
 
Credit derivatives || credit risk management || SHAHBAZ JAFFRI ||
Credit derivatives || credit risk management || SHAHBAZ JAFFRI ||Credit derivatives || credit risk management || SHAHBAZ JAFFRI ||
Credit derivatives || credit risk management || SHAHBAZ JAFFRI ||
 
Synthetic securitization
Synthetic securitizationSynthetic securitization
Synthetic securitization
 
Bonds and their valuation
Bonds and their valuationBonds and their valuation
Bonds and their valuation
 
Chapter 6.Long -Term Financing-Debt
Chapter 6.Long -Term Financing-DebtChapter 6.Long -Term Financing-Debt
Chapter 6.Long -Term Financing-Debt
 
credit ref -questions ans .docx
credit ref -questions ans .docxcredit ref -questions ans .docx
credit ref -questions ans .docx
 
CDS IN INDIA
CDS IN INDIACDS IN INDIA
CDS IN INDIA
 
Fixed Income and Money Market Instu_Final
Fixed Income and Money Market Instu_FinalFixed Income and Money Market Instu_Final
Fixed Income and Money Market Instu_Final
 
Fall Of Lehman Brother
Fall Of Lehman BrotherFall Of Lehman Brother
Fall Of Lehman Brother
 
Economic terms
Economic termsEconomic terms
Economic terms
 
New microsoft word dfd
New microsoft word dfdNew microsoft word dfd
New microsoft word dfd
 

Plus de av vedpuriswar

Operational Risk Management Oct 4
Operational Risk Management Oct 4Operational Risk Management Oct 4
Operational Risk Management Oct 4
av vedpuriswar
 

Plus de av vedpuriswar (10)

Liquidity Risk Oct 4
Liquidity Risk Oct 4Liquidity Risk Oct 4
Liquidity Risk Oct 4
 
Greeks And Volatility
Greeks And VolatilityGreeks And Volatility
Greeks And Volatility
 
Operational Risk Management Oct 4
Operational Risk Management Oct 4Operational Risk Management Oct 4
Operational Risk Management Oct 4
 
Var Problems
Var ProblemsVar Problems
Var Problems
 
Value At Risk Sep 22
Value At Risk Sep 22Value At Risk Sep 22
Value At Risk Sep 22
 
Market Risk Modelling
Market Risk ModellingMarket Risk Modelling
Market Risk Modelling
 
Credit Risk Modelling Primer
Credit Risk Modelling PrimerCredit Risk Modelling Primer
Credit Risk Modelling Primer
 
Credit Risk Management Problems
Credit Risk Management ProblemsCredit Risk Management Problems
Credit Risk Management Problems
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primer
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primer
 

Dernier

Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...
Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...
Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...
Call Girls in Nagpur High Profile
 
Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7
Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7
Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7
9953056974 Low Rate Call Girls In Saket, Delhi NCR
 
Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...
Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...
Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...
Call Girls in Nagpur High Profile
 
Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...
Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...
Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...
Delhi Call girls
 
VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...
VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...
VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...
dipikadinghjn ( Why You Choose Us? ) Escorts
 
Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...
Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...
Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...
Call Girls in Nagpur High Profile
 
Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...
Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...
Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...
priyasharma62062
 
Call Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance Booking
Call Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance BookingCall Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance Booking
Call Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance Booking
roncy bisnoi
 

Dernier (20)

Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...
Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...
Top Rated Pune Call Girls Sinhagad Road ⟟ 6297143586 ⟟ Call Me For Genuine S...
 
02_Fabio Colombo_Accenture_MeetupDora&Cybersecurity.pptx
02_Fabio Colombo_Accenture_MeetupDora&Cybersecurity.pptx02_Fabio Colombo_Accenture_MeetupDora&Cybersecurity.pptx
02_Fabio Colombo_Accenture_MeetupDora&Cybersecurity.pptx
 
The Economic History of the U.S. Lecture 21.pdf
The Economic History of the U.S. Lecture 21.pdfThe Economic History of the U.S. Lecture 21.pdf
The Economic History of the U.S. Lecture 21.pdf
 
Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7
Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7
Call Girls in New Ashok Nagar, (delhi) call me [9953056974] escort service 24X7
 
The Economic History of the U.S. Lecture 26.pdf
The Economic History of the U.S. Lecture 26.pdfThe Economic History of the U.S. Lecture 26.pdf
The Economic History of the U.S. Lecture 26.pdf
 
The Economic History of the U.S. Lecture 30.pdf
The Economic History of the U.S. Lecture 30.pdfThe Economic History of the U.S. Lecture 30.pdf
The Economic History of the U.S. Lecture 30.pdf
 
Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...
Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...
Booking open Available Pune Call Girls Wadgaon Sheri 6297143586 Call Hot Ind...
 
Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...
Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...
Call Girls in New Friends Colony Delhi 💯 Call Us 🔝9205541914 🔝( Delhi) Escort...
 
VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...
VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...
VIP Independent Call Girls in Mumbai 🌹 9920725232 ( Call Me ) Mumbai Escorts ...
 
The Economic History of the U.S. Lecture 20.pdf
The Economic History of the U.S. Lecture 20.pdfThe Economic History of the U.S. Lecture 20.pdf
The Economic History of the U.S. Lecture 20.pdf
 
Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...
Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...
Top Rated Pune Call Girls Viman Nagar ⟟ 6297143586 ⟟ Call Me For Genuine Sex...
 
Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...
Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...
Kharghar Blowjob Housewife Call Girls NUmber-9833754194-CBD Belapur Internati...
 
The Economic History of the U.S. Lecture 19.pdf
The Economic History of the U.S. Lecture 19.pdfThe Economic History of the U.S. Lecture 19.pdf
The Economic History of the U.S. Lecture 19.pdf
 
Solution Manual for Financial Accounting, 11th Edition by Robert Libby, Patri...
Solution Manual for Financial Accounting, 11th Edition by Robert Libby, Patri...Solution Manual for Financial Accounting, 11th Edition by Robert Libby, Patri...
Solution Manual for Financial Accounting, 11th Edition by Robert Libby, Patri...
 
Call Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance Booking
Call Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance BookingCall Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance Booking
Call Girls Koregaon Park Call Me 7737669865 Budget Friendly No Advance Booking
 
Mira Road Awesome 100% Independent Call Girls NUmber-9833754194-Dahisar Inter...
Mira Road Awesome 100% Independent Call Girls NUmber-9833754194-Dahisar Inter...Mira Road Awesome 100% Independent Call Girls NUmber-9833754194-Dahisar Inter...
Mira Road Awesome 100% Independent Call Girls NUmber-9833754194-Dahisar Inter...
 
Solution Manual for Principles of Corporate Finance 14th Edition by Richard B...
Solution Manual for Principles of Corporate Finance 14th Edition by Richard B...Solution Manual for Principles of Corporate Finance 14th Edition by Richard B...
Solution Manual for Principles of Corporate Finance 14th Edition by Richard B...
 
The Economic History of the U.S. Lecture 25.pdf
The Economic History of the U.S. Lecture 25.pdfThe Economic History of the U.S. Lecture 25.pdf
The Economic History of the U.S. Lecture 25.pdf
 
The Economic History of the U.S. Lecture 22.pdf
The Economic History of the U.S. Lecture 22.pdfThe Economic History of the U.S. Lecture 22.pdf
The Economic History of the U.S. Lecture 22.pdf
 
Stock Market Brief Deck (Under Pressure).pdf
Stock Market Brief Deck (Under Pressure).pdfStock Market Brief Deck (Under Pressure).pdf
Stock Market Brief Deck (Under Pressure).pdf
 

Credit Derivatives

  • 1. Credit Derivatives September 11, 2009 By A. V. Vedpuriswar
  • 2.
  • 3.
  • 4.
  • 5.
  • 6.
  • 7.
  • 8.
  • 9.
  • 10.
  • 11.
  • 12.
  • 13.
  • 14.
  • 15.
  • 16.
  • 17.
  • 18.
  • 19.
  • 20.
  • 21.
  • 22.
  • 23.
  • 24.
  • 25.
  • 26.
  • 27.
  • 28.
  • 29.
  • 30.
  • 31.
  • 32.
  • 33.
  • 34.
  • 35.
  • 36.
  • 37.
  • 38.
  • 39.
  • 40.
  • 41.
  • 42.
  • 43.
  • 44.
  • 45.
  • 46.
  • 47.
  • 48.
  • 49.
  • 50.
  • 51.
  • 52.
  • 53.
  • 54.
  • 55.
  • 56.
  • 57.