PT - JOURNAL ARTICLE AU - Alan L. Tucker AU - Jason Z. Wei TI - Credit Default Swaptions AID - 10.3905/jfi.2005.523092 DP - 2005 Jun 30 TA - The Journal of Fixed Income PG - 88--95 VI - 15 IP - 1 4099 - https://pm-research.com/content/15/1/88.short 4100 - https://pm-research.com/content/15/1/88.full AB - 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—known as CDS swaptions—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.