%0 Journal Article %A Alan L. Tucker %A Jason Z. Wei %T Credit Default Swaptions %D 2005 %R 10.3905/jfi.2005.523092 %J The Journal of Fixed Income %P 88-95 %V 15 %N 1 %X 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. %U https://jfi.pm-research.com/content/iijfixinc/15/1/88.full.pdf