【CFA二级笔记】固收：第五章 信用违约互换

大家好，欢迎来到IT知识分享网。

目录

1 信用违约互换（Credit Default Swap, CDS）的特点和结构

2 CDS种类

2.1 单一名称CDS（Single-Name CDS）

2.2 指数CDS（Index CDS）

2.3 分层CDS（Tranche CDS）

3 信用违约互换的定价机制

4 信用违约互换的应用

4.1 Manageing Credit Exposure

4.1.1 Adjustment of credit exposure

4.1.2 Naked CDS

4.1.3 Long/short Trade

4.1.4 Curve Trade

4.2 Valuation Disparity

4.2.1 Basis Trade

4.2.2 Arbitrage Trade

1 信用违约互换（Credit Default Swap, CDS）的特点和结构

Credit default swaps（CDS）is a derivative contract between two parties，credit protection buyer and credit protection seller，in which the buyer makes a series of cash payments to the seller and receives a promise of compensation for credit losses resulting from the default（a pre-defined credit event）of a third party. 

Notional amount/principal is the amount of protection being purchased

CDS spread (%) is the premium that the buyer of a CDS pays to the seller for protection against credit risk. 

• The higher the probability of default, the higher the CDS spread
• The higher the loss given default, the higher the CDS spread

CDS本质上是一个保险合同，其保费即为Credit Spread

CDS合约的两种交割方式：

• Physical settlement: actual delivery of the debt instrument in exchange for a payment by the credit protection seller of the notional amount of contract
• Cash settlement: the credit protection seller pays cash to the credit protection buyer：Payout amount = Notional amount x (1-recovery rate)

例子：

案例背景

假设公司A发行了一笔面值为1000万美元的债券，期限为5年。投资者B担心公司A可能会在未来发生违约，因此购买了一份CDS合约来对冲这一风险。投资者B每年支付1%的保费，即10万美元，给保护卖方C。

现金结算（Cash Settlement）

通过购买CDS，投资者B在公司A违约时得到了赔偿，减少了损失。保护卖方C则承担了违约风险，并在信用事件发生时支付赔偿。