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Credit Default Swaps as new underlyings?
Hi there!In the framework of a thesis, I am considering the different rationale and applications to use CDS as underlyings of derivatives. Indeed, as the CDS market itself is a very liquid and deep market, can't we figure out to use CDS as underlyings of derivatives, simply in the same way as we use swaps to set up swaptions?If you have any clues, any academical sources or any personal views on that matter, please feel free to add it up to this hot issue!ByeNikko
Credit Default Swaps as new underlyings?
John Hull has a paper out in Sept. 2002, http://www.defaultrisk.com/pp_crdrv_27.htmanother one http://www.defaultrisk.com/pp_crdrv_22.htm