References
• http://www.securitization.net/pdf/content/Nomura_CDS_Primer_12May04.pdf
• http://www.securitization.net/pdf/Nomura/SyntheticABS_7Mar06.pdf
• http://www.quantifisolutions.com/History%20of%20Credit%20Derivatives.php
• Fitch Ratings, Special Report: A Brief Review of “The Basis,” January 10, 2008.
• Fitch Ratings, Special Report: The CDS Market and Financial Guarantors – Current Issues, February 27, 2008
• Laing, J. R., Defusing the Credit-Default Swap, in Barron’s, November 17, 2008.
• Morgenson, G., Arcane Market is Next to Face Big Credit Test, in The New York Times, February 17, 2008.
• RECOMMENDED: Federal Reserve Bank of Atlanta, Economic Review, Fourth Quarter 2007:
– Preface – Credit Derivatives: Where’s the Risk
– Credit Derivatives: An Overview
– Credit Derivatives and Risk Management
– Credit Derivatives, Macro Risks, and Systemic Risks
• Clearinghouse News:
– http://www.bloomberg.com/apps/news?pid=20601087&sid=awdIS.zeotuY&refer=home
– http://www.bloomberg.com/apps/news?pid=20601087&sid=apgBhmu_U.Fo&refer=home
• ISDA statistics - http://www.isda.org/statistics/historical.html
• Federal Reserve Board presentation - www.frbsf.org/economics/conferences/0611/Nelson.ppt
• General paper about systemic risk by ECB - http://www.ecb.int/pub/pdf/scpwps/ecbwp035.pdf
• Counterparty Risk Management Policy Group (Policy report from Gerald Corrigan of Goldman Sachs & Douglas Flint of HSBC
to Secretary Paulson & Mario Draghi of the Bank of Italy) - http://www.crmpolicygroup.org/docs/CRMPG-III.pdf
• AIG downfall - http://www.forbes.com/2008/09/28/croesus-aig-credit-biz-cx_rl_0928croesus.html
• http://www.nytimes.com/2008/09/28/business/28melt.html?sq=aig%20cds%20london&st=cse&scp=2&pagewanted=all
• Nouriel Roubini’s website - http://www.rgemonitor.com/economonitor-
monitor/253566/would_lehmans_default_be_a_systemic_cds_event