TY - JOUR T1 - Credit Default Swaptions JF - The Journal of Fixed Income SP - 88 LP - 95 DO - 10.3905/jfi.2005.523092 VL - 15 IS - 1 AU - Alan L. Tucker AU - Jason Z. Wei Y1 - 2005/06/30 UR - https://pm-research.com/content/15/1/88.abstract N2 - 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. ER -