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Title: The collapse of credit default swap market in the subprime crisis : a systematic study on AIG's CDS business.
Authors: Fu, Xiaomin.
Zhou, Liangliang.
Keywords: DRNTU::Business::Finance
Issue Date: 2010
Abstract: 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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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