Portfolio Credit Derivatives Based on Rating Migration

79 Pages Posted: 25 Feb 2009 Last revised: 10 Mar 2009

See all articles by Nicolas Gisiger

Nicolas Gisiger

affiliation not provided to SSRN

Date Written: January 26, 2007

Abstract

This thesis discusses portfolio credit derivatives which offer rating migration protection on a portfolio of assets. Credit rating migrations are interesting, both from an originator's and an investor's point of view. After discussing the possibilities and problems of expressing a view on rating migration through default-sensitive instruments, we introduce a new portfolio credit derivative. Applications and payoff examples are provided, as well as a chapter on the modelling and pricing of the product.

Keywords: rating migration, rating, credit rating, credit derivative, CDO, credit portfolio, Gisiger, Nicolas Gisiger

JEL Classification: C51, G12, G13

Suggested Citation

Gisiger, Nicolas, Portfolio Credit Derivatives Based on Rating Migration (January 26, 2007). Available at SSRN: https://ssrn.com/abstract=1348685 or http://dx.doi.org/10.2139/ssrn.1348685

Nicolas Gisiger (Contact Author)

affiliation not provided to SSRN ( email )

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