@article {Tucker88, author = {Alan L. Tucker and Jason Z. Wei}, title = {Credit Default Swaptions}, volume = {15}, number = {1}, pages = {88--95}, year = {2005}, doi = {10.3905/jfi.2005.523092}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The credit derivatives market, widely regarded as the fastest growing sector of the derivatives industry, is estimated at over $5 trillion in average outstanding notional principal worldwide. Credit default swaps account for approximately 73\% of the market. Options on credit default swaps{\textemdash}known as CDS swaptions{\textemdash}have recently become popular among end users. CDS swaptions come in two general varieties: calls and puts written on CDS, and cancelable CDS. A cancelable CDS includes an embedded option to terminate a CDS contract (an embedded CDS swaption). The authors describe credit default swaptions and their uses in creating synthetic collateralized debt obligations, and illustrate accessible valuation models.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/15/1/88}, eprint = {https://jfi.pm-research.com/content/15/1/88.full.pdf}, journal = {The Journal of Fixed Income} }