Basics of Credit Derivatives

An easy-to-read primer on meaning, types and basics of credit derivatives Credit Derivatives- a primer
A detailed reference with discussion on issues Credit Derivatives Terminology
A detailed reference with discussion on issues Credit Derivatives: Detailed referencer

Credit Derivatives: Market Info and awareness 

Credit derivatives markets in different countries Market data and developments
Regularly updated news on credit derivatives News and developments
Our free mailing list provides you regular news and downloads on credit derivatives Get news into your Inbox
Our free mailing list provides you regular news and downloads on credit derivatives Why join mailing list

Knowledge base

A rich collection of articles on credit derivatives Vinod Kothari's book on Credit Derivatives and CDOs
A rich collection of articles on credit derivatives Articles on Credit Derivatives
An easy-to-read primer on meaning, types and basics of credit derivatives Workshop on Credit derivatives
Regulatory statements on credit derivatives in different countries Regulations on credit derivatives
Important links on credit derivatives Links  
Perhaps the web's only forum dedicated to credit derivatives Discussion forum 

We expect..

Perhaps the web's only forum dedicated to credit derivatives Sign my Guest book
Perhaps the web's only forum dedicated to credit derivatives View my Guest book

Personally speaking

Perhaps the web's only forum dedicated to credit derivatives Who is Vinod Kothari
Perhaps the web's only forum dedicated to credit derivatives E-mail Vinod Kothari
Perhaps the web's only forum dedicated to credit derivatives Contact Vinod Kothari

Our other sites: 

Perhaps the web's only forum dedicated to credit derivatives Securitization website 
Perhaps the web's only forum dedicated to credit derivatives Leasing website 

Search this site:

Copyright: All materials on this site, unless otherwise specified, are sole intellectual property of Vinod Kothari and their reproduction in any form is a violation of copyright law.

 

 

 

Credit derivatives terminology

By Vinod Kothari  

   

Basket Default swap: A credit default swap referenced to a basket or a bunch of reference obligations, usually all equally-weighted, where losses will be transferred to the protection seller based on the terms of the swap. The terms of the swap could be first-to-default or second-to-default, or for that matter, n-th-to-default. If the terms of the swap are first to default, the losses on the first obligation to default in the basket will be transferred to the protection seller, and thereafter, the swap will be terminated. Likewise, in case of the second-to-default swap, the losses on the first default will not be transferred to the protection seller, but those on the second default will be transferred, and thereafter, the swap is closed. Basket swaps are essentially correlation products – for a basket of uncorrelated portfolio, the probability of more than one default in a basket is negligible, and so, the protection buyer buying protection on first-to-default in the basket has virtually covered himself against the entire basket.

 

Go Back to Glossary