Page 148 - DMGT513_DERIVATIVES_AND_RISK_MANAGEMENT

Dilfraz Singh, Lovely Professional University
Unit 11: Credit Derivatives

Unit 11: Credit Derivatives Notes

CONTENTS
Objectives

Introduction
11.1 Types of Credit Derivatives

11.1.1 Credit Default Swap
11.1.2 Total Return Swaps
11.1.3 Credit Linked Notes

11.1.4 Credit Spread Options
11.1.5 Repackaged Notes
11.2 Collateralized Debt Obligations

11.3 The Indian Scenario
11.4 Credit Risk Mitigation
11.4.1 Credit Approving Authority

11.4.2 Prudential Limits
11.4.3 Risk Rating

11.4.4 Risk Pricing
11.4.5 Portfolio Management
11.4.6 Loan Review Mechanism/Credit Review Function

11.5 Weather and Energy Derivatives
11.6 Summary

11.7 Keywords
11.8 Review Questions
11.9 Further Readings

Objectives

After studying this unit, you will be able to:

 Explain the types of credit derivatives
 Describe colleteralised debt obligations
 Discuss credit derivatives in Indian scenario

 State the strategies for credit risk mitigation
 Describe weather and energy derivatives

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