the aim of this paper is to explain the effect of "Subrime" crisis on credit default swap markets. After the problems of CDO's insttruments, protection buyers use classical credit derivatives instruments such CDS contracts.

This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite...