M. J. Muir, A. Chase, P. S. Coleman, P. Cooper, G. S. Finkelstein, P. Fulcher, C. Harvey, F. R. Pereira, A. Shamash, T. J. D. Wilkins
Abstract:ABSTRACTThis paper was written by the Derivatives Working Party, a permanent working party of the Life Research Committee of the Institute and Faculty of Actuaries. Our aim is to consider how life assurers may use, or may wish to use, derivatives, and if their use is unduly constrained, e.g. by regulation. This paper focuses on credit derivatives. We provide an overview of the credit derivatives market, and the strong growth in this market over recent years. We then focus on the two main traded credit derivati…
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