The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business.
This paper examines the role which credit default swap has played in the subprime financial crisis and how it brought about tremendous losses for financial institutions. The discussion focuses on AIG’s CDS business operation, how AIG as one of the largest CDS underwriters profited from CDS business...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/35557 |
| _version_ | 1811678057792012288 |
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| author | Fu, Xiaomin. Zhou, Liangliang. |
| author2 | Cao Yong |
| author_facet | Cao Yong Fu, Xiaomin. Zhou, Liangliang. |
| author_sort | Fu, Xiaomin. |
| collection | NTU |
| description | This paper examines the role which credit default swap has played in the subprime financial crisis and how it brought about tremendous losses for financial institutions. The discussion focuses on AIG’s CDS business operation, how AIG as one of the largest CDS underwriters profited from CDS business and subsequently incurred huge liabilities. We studied the market risk facing AIG in its credit derivatives dealings and run a simulation of CDS pricing to illustrate the importance in accurately assessing the default probability of the reference entity. We highlight the systematic risk inherent in CDS business and call for greater attention in risk management to strengthen the overall health of financial institutions. |
| first_indexed | 2024-10-01T02:47:13Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/35557 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:47:13Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | ntu-10356/355572023-05-19T07:23:11Z The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business. Fu, Xiaomin. Zhou, Liangliang. Cao Yong Nanyang Business School DRNTU::Business::Finance This paper examines the role which credit default swap has played in the subprime financial crisis and how it brought about tremendous losses for financial institutions. The discussion focuses on AIG’s CDS business operation, how AIG as one of the largest CDS underwriters profited from CDS business and subsequently incurred huge liabilities. We studied the market risk facing AIG in its credit derivatives dealings and run a simulation of CDS pricing to illustrate the importance in accurately assessing the default probability of the reference entity. We highlight the systematic risk inherent in CDS business and call for greater attention in risk management to strengthen the overall health of financial institutions. BUSINESS 2010-04-20T09:23:58Z 2010-04-20T09:23:58Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/35557 en Nanyang Technological University 56 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance Fu, Xiaomin. Zhou, Liangliang. The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business. |
| title | The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business. |
| title_full | The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business. |
| title_fullStr | The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business. |
| title_full_unstemmed | The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business. |
| title_short | The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business. |
| title_sort | collapse of credit default swap market in the subprime crisis a systematic study on aig s cds business |
| topic | DRNTU::Business::Finance |
| url | http://hdl.handle.net/10356/35557 |
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