Corpus ID: 54024871

Credit Derivatives: An Overview

@article{Mengle2007CreditDA,
  title={Credit Derivatives: An Overview},
  author={David L. Mengle},
  journal={Econometric Reviews},
  year={2007},
  volume={92},
  pages={1-24}
}
  • D. Mengle
  • Published 2007
  • Economics
  • Econometric Reviews
Arising from financial institutions' need to hedge and diversify credit risk, credit derivatives have now become a major investment tool. Almost all credit derivatives take the form of the credit default swap, which transfers default risk from one party to another. Most credit default swaps were once written on single names, but since 2004 the major impetus to growth and market liquidity has been credit default swaps on indexes. ; This paper examines the mechanics, risks, and market for credit… Expand

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