Design, price, and analyze credit derivative instruments
A credit derivative is a financial derivative instrument whose value depends upon the credit risk of an underlying reference entity such as a loan or a bond. Credit derivatives such as credit default swaps (CDSs), credit default swaptions, credit linked notes (CLNs), credit spread options (CSOs), and collateralized debt obligations (CDOs) provide risk management and investment opportunities for financial market participants.
You can use credit derivative models to:
- Analyze credit events that affect derivative pricing
- Design and price structured credit instruments
- Build credit index pricing solutions
- Analyze the credit derivatives market to identify relative mispricing and trading opportunities
- Manage sovereign and corporate default risk exposure
For more information on pricing and analyzing credit derivatives, see MATLAB® toolboxes for financial instruments, statistics, finance, and econometrics.
Examples and How To
See also: MATLAB in production, financial engineering, market risk, Financial Toolbox, fixed income, financial services