Portfolio Credit Derivatives Based on Rating Migration
79 Pages Posted: 25 Feb 2009 Last revised: 10 Mar 2009
Date Written: January 26, 2007
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
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