Vol. 91, No. 4
Fourth Quarter 2007
Credit Derivatives: Where's the Risk?
This interview, conducted shortly after the Atlanta Fed's 2007 Financial Markets Conference, discusses credit derivatives and their importance to the market and outlines key themes of the conference.
Credit Derivatives: An Overview
This paper examines the mechanics, risks, and market for credit default swaps, provides an overview of pricing and dealers' risk-management role, discusses credit derivatives' costs and benefits, and outlines some recent policy issues.
Credit Derivatives and Risk Management
Michael S. Gibson
While credit derivatives have proved to be valuable risk-management tools, they also pose potential challenges, including counterparty credit risk, model risk, rating agency risk, and settlement risk.
Credit Derivatives, Macro Risks, and Systemic Risks
Drawing a distinction between market perceptions and formal definitions, the author examines macro drivers of credit. He then considers the possibilities of systemic risk, looking particularly at modeling and proper hedging, risk management, and valuation.