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Credit and Weather Derivatives Liyan Dizon Marose Monedero Macky Villagarcia Feb 11, 2011
Credit Derivatives
What are credit derivatives?   ,[object Object],[object Object]
What are credit derivatives? ,[object Object],[object Object]
Growth in Credit Derivatives   Source: British Bankers Association Credit Derivatives Report
Credit Derivatives Market Participants   Source: British Bankers Association (BBA)
Types of Credit Derivatives ,[object Object],[object Object],[object Object]
1. Credit Default Swap ,[object Object],[object Object]
What is a credit event?   ,[object Object],[object Object]
Example… ,[object Object],[object Object],[object Object],[object Object]
Exhibit ,[object Object],Bank A  Buyer Insurance Company C Seller Steel company Reference Asset Contingent Payment On Credit Event Premium Fee Credit Risk
2. Credit Spread Option ,[object Object],[object Object]
Example… ,[object Object],[object Object]
Example…
3. Credit Linked Notes ,[object Object],[object Object],[object Object]
Example… Refer to the Steel company case again ,[object Object],[object Object],[object Object]
Exhibit Bank A Institutional investors Steel Company $1 Million fixed or floating coupon,if defaults or declares bankruptcy the investors receive an amount equal to the recovery rate $1million 500b  p Steel Company
Weather Derivatives
Sources ,[object Object],[object Object]
Credit and Weather Derivatives Liyan Dizon Marose Monedero Macky Villagarcia Feb 11, 2011

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