Credit default swaps (CDS) are term insurance contracts written on traded bonds. This paper studies the economics of CDS using the economics of insurance literature as a basis for analysis. It is alleged that trading in CDS caused the 2007 credit crisis, and therefore trading CDS is an "evil"...

This paper uses a bottom-up, reduced form credit risk model with hazard rate estimated default probabilities to compute various collateralized loan obligation (CLO) tranches’ loss probabilities and capital factors. It is shown that with respect to the loss probabilities, credit rated CLO...

This paper provides asymptotic valuation formulas for credit derivatives on baskets, including synthetic and cash flow CDOs. As such, it provides the link between the "bottom up" and "top down" approaches used for the pricing of these credit risky securities

Defining a futures return as the rate of change of futures prices, as done in many empirical studies, implicitly implies that a futures contract is fully collateralized. We adjust futures' returns to explicitly account for holding the minimum margin (collateral) and the return to this...