RT Journal Article SR Electronic T1 Credit Default Swaptions JF The Journal of Fixed Income FD Institutional Investor Journals SP 88 OP 95 DO 10.3905/jfi.2005.523092 VO 15 IS 1 A1 Alan L. Tucker A1 Jason Z. Wei YR 2005 UL https://pm-research.com/content/15/1/88.abstract 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.