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1、CHAPTERFIFTY-EIGHTINTRODUCTIONTOCREDITDERIVATIVESDOMINICO’KANEManagingDirectorFixedIncomeResearchLehmanBrothersThecreditderivativesmarkethasgrownrapidlyoverthepastseveralyears.Recentmarketsurveys1estimateatotalmarketnotionalofoutstandingcontractsofover$2tr
2、illion.Asacomparison,thetotalnotionaloutstandingofglobalinvestment-gradecorporatebondissuancecurrentlystandsat$3.1trillion.Thisgrowthinthecreditderivativesmarkethasbeendrivenbyanincreasingrealiza-tionoftheadvantagescreditderivativespossessoverthecashaltern
3、ative,plusthemanynewpossibilitiestheypresenttobothcreditinvestorsandhedgers.Thoseinvestorsseekingyieldpickupornewwaystohedgeorassumeanexposuretocreditareincreasinglyturningtowardthecreditderivativesmarket.Theprimarypurposeofcreditderivativesistoenabletheef
4、ficienttransferandrepackagingofcreditrisk.Intheirsimplestform,creditderivativesprovideamoreefficientwaytosynthesizethecreditrisksthatotherwisewouldexistinastandardcashinstrument.Othercreditderivativessuchasdefaultbasketsandsyntheticlosstranchesintroducenewex
5、posurestodefaultcorrelationthatcreateanewwayforthecreditinvestortoleverageinvestment-gradecreditrisk.Throughthebondandcreditswaptionsmarket,investorsalsocanexpressaviewoncreditspreadvolatility.Theaimofthischapteristosetoutthemaincreditderivativestypesinter
6、msoftheirmechanics,risks,andapplications.Theserangefromtheplain-vanillacreditdefaultswap,thesimplestandmostliquidcreditderivative,tovari-ationsonthesyntheticcollateralizeddebtobligations(CDOs),amorecomplex,structuredcreditproduct.Webeginwithanoverviewofthe
7、market.TheauthorwouldliketoacknowledgediscussionswithGeorgesAssi,ArthurBerd,SunitaGanapati,RobertMcAdie,MarcoNaldi,MichalOulik,ClausPedersen,andLutzSchloegl.1.“RiskMagazineCreditDerivativesSurvey,”RiskMagazine,February2003.1337Copyright©2005,2001,1997,1995
8、,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1338PART7DerivativesandTheirApplicationsTHECREDITDERIVATIVESMARKETThecreditderivativesmarkethaschangedsubstantiallysinceitsinceptioninthemid
