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Posts Tagged ‘Credit derivatives’

VALUATION OF CREDIT RISK GUARANTEES, INSURANCE OR CREDIT DERIVATIVES

Category: Risk Management in Banking

The valuation of insurance, guarantee or credit derivative depends on the correlation between the credit risk of the two parties, the risk seller/buyer of a protection and the risk buyer/seller of a protection. Whether the protection is a third-party guarantee, an insurance or results from a credit derivative does not matter in terms of valuation. […]