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.
Leading institutions in the financial services industry use MATLAB to price and analyze credit derivatives. MATLAB toolboxes, such as those for financial instruments, statistics, finance, and econometrics, support derivative modeling tasks, enabling you to:
Credit Risk Modeling with MATLAB (Webinar)