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Multi-Name and Index CDSs

In: Credit Default Swaps

Author

Listed:
  • Christopher L. Culp

    (Johns Hopkins University)

  • Andria van der Merwe

    (Johns Hopkins University)

  • Bettina J. Stärkle

    (Compass Lexecon)

Abstract

Credit default swaps (“CDSs”) based on more than one reference entity include bespoke portfolio CDSs with customized reference portfolios, basket CDSs with individualized reference portfolios and engineered payoffs (e.g., Nth-to-default CDSs and excess-of-loss CDSs) designed to reduce the cost of credit protection while tailoring such protection to the particular needs of protection purchasers, index CDSs based on a standardized set of underlying reference entities, and tranched index CDSs based on both a standardized set of underlying reference entities and pre-defined cumulative loss rates. The mechanics of these types of multi-name CDSs are summarized here.

Suggested Citation

  • Christopher L. Culp & Andria van der Merwe & Bettina J. Stärkle, 2018. "Multi-Name and Index CDSs," Palgrave Studies in Risk and Insurance, in: Credit Default Swaps, chapter 0, pages 85-97, Palgrave Macmillan.
    • Handle: RePEc:pal:psircp:978-3-319-93076-3_4
    DOI: 10.1007/978-3-319-93076-3_4
    as

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