Umberto Cherubini, “CDS and the City”

Wednesday  November 23 2011
Scuola Normale Superiore
Aula Bianchi

Umberto Cherubini
Università di Bologna


We discuss the peculiarity of the CDS tool in the realm of credit derivatives. We show how to use such products for the hedging of credit risk and for synthetic creation of it. We show how to use CDS quotes to bootstrap the term structure of the implied probability of default of an obligor. We finally discuss the relevance of the market in which CDS are traded, which is Over-The-Counter. As an illustration we provide a case of CDS used in the funding of a municipal entity.

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