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The Journal of Fixed Income

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Primary Article

Credit Default Swaptions

Alan L. Tucker and Jason Z. Wei
The Journal of Fixed Income Summer 2005, 15 (1) 88-95; DOI: https://doi.org/10.3905/jfi.2005.523092
Alan L. Tucker
An associate professor of finance in the Lubin School of Business at Pace University in New York City.
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  • For correspondence: atucker@pace.edu
Jason Z. Wei
An associate professor of finance in the Rotman School of Management at the University of Toronto in Toronto, Ontario.
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Abstract

The credit derivatives market, widely regarded as the fastest growing sector of the derivatives industry, is estimated at over $5 trillion in average outstanding notional principal worldwide. Credit default swaps account for approximately 73% of the market. Options on credit default swaps—known as CDS swaptions—have recently become popular among end users. CDS swaptions come in two general varieties: calls and puts written on CDS, and cancelable CDS. A cancelable CDS includes an embedded option to terminate a CDS contract (an embedded CDS swaption). The authors describe credit default swaptions and their uses in creating synthetic collateralized debt obligations, and illustrate accessible valuation models.

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The Journal of Fixed Income
Vol. 15, Issue 1
Summer 2005
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Credit Default Swaptions
Alan L. Tucker, Jason Z. Wei
The Journal of Fixed Income Jun 2005, 15 (1) 88-95; DOI: 10.3905/jfi.2005.523092

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Credit Default Swaptions
Alan L. Tucker, Jason Z. Wei
The Journal of Fixed Income Jun 2005, 15 (1) 88-95; DOI: 10.3905/jfi.2005.523092
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