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Credit Derivatives

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Credit derivatives are a useful tool for lenders who want to reduce their exposure to a particular borrower but are unwilling to sell their claims on that borrower. Without actually transferring ownership of the underlying assets, these contracts transfer risk from one counterparty to another. Commercial banks are the major participants in this growing market, using these transactions to diversify their portfolios of loans and other risky assets. The authors examine the size and workings of this relatively new market and discuss the potential of these transactions for distorting existing incentives for risk management and risk monitoring.

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  • John Kiff & Ron Morrow, 2000. "Credit Derivatives," Bank of Canada Review, Bank of Canada, vol. 2000(Autumn), pages 3-11.
    • Handle: RePEc:bca:bcarev:v:2000:y:2000:i:autumn00:p:3-11
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    Cited by:

    1. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
    2. Jim Armstrong, 2003. "The Syndicated Loan Market: Developments in the North American Context," Staff Working Papers 03-15, Bank of Canada.
    3. Reszat, Beate, 2003. "How has the European Monetary Integration Process Contributed to Regional Financial Market Integration?," HWWA Discussion Papers 221, Hamburg Institute of International Economics (HWWA).
    4. Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang, 2016. "The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 725-761, May.
    5. Reszat, Beate, 2003. "How Has the European Monetary Integration Process Contributed to Regional Financial Market Integration?," Discussion Paper Series 26179, Hamburg Institute of International Economics.
    6. Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.

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