Search

The market of credit derivatives has experienced enormous growth in recent years. One of the instruments, which play dominant role on the market are Credit Default Swaps. This paper examines the role of Credit Defaults Swaps on this marker and describes their possible application in separating and transferring credit risk.

The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products. The next section deals with the historical development of credit default swaps, regulatory actions taking place in recent years and market changes. Finally, the study points out the possibilities of the credit default swap pricing either by Hull-White model, par asset swap or linear regression. The thesis should help the reader to understand basic issues concerning credit default swaps. Keywords Credit default swap, credit risk, credit event, central counterparty, asset swap spread Length of the thesis 65 231

The subject of this thesis is an analysis of causes and impacts of credit risk transfer through credit derivatives on the world economy. It deals with the theoretical view of credit derivatives and their definition. A significant part of the work is devoted to a description of the current credit derivatives market and to motives for trading them. In the continuous process of derivative products innovation selected types are described. Those types that were spread during last two decades. In another part are introduced credit derivatives market participants and special attention is given to the banking sector. Important part is the description of an economic situation in countries in crisis. The aim of this work is to give a complete description of all sectors that were influenced by credit derivatives market.

The thesis is focused on the process of trading in credit derivatives on the global financial markets. The first part deals with the history and the development of credit derivatives from the very beginning to the present and all factors that influenced and affected them during that time. Various derivative instruments are explained, in terms of their purpose, suitability for use and the risks arising from them. Mainy focus of the thesis is put on the selected stock markets (CME Group Inc., Eurex AG, NYSE Liff Holdings LLC). This section begins with their history, then it describes their structure and purpose. It explains stock market membership conditions and settlement of exchange contracts principles. The final part clarifies the role of credit derivatives in the financial crisis and the reasons that led to it. In the final part of the thesis organizations that regulate credit derivatives are described, in addition to regulation methods and aids, specifically in terms of new regulatory measures under Basel III and the organization of ISDA, which are also included. At the very end the possibilities of securitization and credit risk diversification are explained as well as methods of credit instruments valuation, which are demonstrated on an example of Credit Default Swap.

This bachelor thesis is about issues and negative impacts of credit derivatives, especially Credit Default Swaps. It discuss their planed regulation. First part breifly describes the main types of credit derivatives, then their history an circumstances which led to their creation, their history and developement. Main reasons, why credit derivatives don't respond to any regulation. Second part is about positive and negative effects of credit derivatives and arguments for and against their regulation. Aim is to solve the question, whether their planned regulation is sufficient or not.

The main objective of this thesis is to acquaint the reader with the main types of credit derivatives, with the methods of functioning and with main valuation principles. The theoretical part focus on description of credit derivatives market developement with more detailed description of subjcts, who are operating on credit derivatives market. The analysis fosus on how the financial crises influenced these subjects and their credit derivatives portfolios. I have also described the new suggested regulation changes. As a conclusion is the estimation of the regulation changes on the credit derivatives market size.

Credit derivatives are one of the most often discussed instruments which influenced the mortgage crisis in USA and consequently also the global financial crisis. Credit derivatives are complex instruments. The aim of this thesis is to describe credit derivatives, dealing with them, analyse the situation on the housing market in USA, determine what the role of credit derivatives in the crisis was and analyse other factors, which contributed to the creation of the crisis.

The thesis is aimed at explanation of the factors that led to the creation of the current financial crisis in their mutual context. Emphasis is placed on the way of providing mortgages in the USA, policy of FED and credit derivatives. The impacts of the crisis on banking, stock and commodity markets, building industry and automotive industry are discussed as important determinants of international trade. It is shortly mentioned how countries like Germany, China or Czech Republic dealt with the crisis. The final part of the thesis is devoted to the impacts of the crisis on international trade, these impacts result from the issues that are described in the first two parts. Discussed are the commodity and territorial structures of the international trade during the years of crisis. Also the impacts on the foreign trade of the Czech Republic are stressed.

This dissertation analyzes key features of credit derivatives market, basic risks of the products and trends the market has experienced for several years since its inception, discusses regulatory issues of the market with regard to the Basel II treatment and key reasons for investors using credit derivatives. Dissertation also examines whether and how credit derivatives affected current financial turmoil, analyzes credit derivatives losses of selected institutions on the financial markets and compares them with total losses of these institutions. The main result of the work is that there was no substantial effect of the credit derivatives market on the current financial crisis. Dissertation also examines whether there is any connection between U.S. banks credit derivatives trades and their capital adequacy ratio. According to the analysis, there is no evidence for credit derivatives to essentially affect capital adequacy ratio of U.S. banks. A potential explanation for the higher values of U.S. banks' capital adequacy ratio may be that there are sophisticated risk management strategies banks have been implicating for many years.