Regulatory changes are increasing the importance of collateral agreements and credit issues in over-the-counter derivatives transactions. This paper considers the nature of derivatives collateral agreements and examines the impact of collateral agreements, two-sided credit risk, funding costs,...

This paper describes the changes taking place in derivatives markets as a result of the 2007-2009 credit crisis. It discusses the developments of new platforms for trading, the use of central counterparties for clearing, the role of trade repositories, and the requirements for the posting of...

A company's credit default swap spread is the cost per annum for protection against a default by the company. In this paper we analyze data on credit default swap spreads collected by a credit derivatives broker. We first examine the relationship between credit default spreads and bond yields...