A credit derivative is a financial derivative instrument whose value depends upon the credit risk of an underlying reference entity such as a loan or a bond. Credit derivatives such as credit default swaps (CDSs), credit default swaptions, credit linked notes (CLNs), credit spread options (CSOs), and collateralized debt obligations (CDOs) provide risk management and investment opportunities for financial market participants.
You can use credit derivative models to:
cdsbootstrap: Bootstrap default probability curve from CDS market quotes - Function
cdsprice: Determine the price for a credit default swap - Function
cdsoptprice: Price payer and receiver credit default swaptions - Function
Develop, manage, review, and challenge internal and regulatory models.