{"id":"https://openalex.org/W2128615330","doi":null,"title":"Credit Derivatives: An Overview","display_name":"Credit Derivatives: An Overview","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W2128615330","mag":"2128615330"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:fip:fedaer:y:2007:i:q4:p:1-24:n:v.92no.4","doi":null,"is_oa":false,"landing_page_url":"http://www.frbatlanta.org/filelegacydocs/erq407_mengle.pdf","pdf_url":"http://www.frbatlanta.org/filelegacydocs/erq407_mengle.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5031985643","display_name":"David L. Mengle","orcid":"https://orcid.org/0000-0002-5791-6648","observed_orcids":["https://orcid.org/0000-0002-5791-6648"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"David L. Mengle","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5031985643"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.5792,"has_fulltext":false,"cited_by_count":93,"citation_normalized_percentile":{"value":0.96950999,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":87,"max":100},"biblio":{"volume":"92","issue":null,"first_page":"1","last_page":"24"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-derivatives","display_name":"credit derivatives","score":1.0},{"id":"https://openalex.org/keywords/credit-default-swaps","display_name":"credit default swaps","score":1.0},{"id":"https://openalex.org/keywords/credit-risk-hedging","display_name":"credit risk hedging","score":0.8600000143051147},{"id":"https://openalex.org/keywords/credit-default-swap-pricing","display_name":"credit default swap pricing","score":0.6570000052452087},{"id":"https://openalex.org/keywords/credit-events","display_name":"credit events","score":0.9549999833106995},{"id":"https://openalex.org/keywords/novation","display_name":"novation","score":0.8209999799728394},{"id":"https://openalex.org/keywords/hedge-funds","display_name":"hedge funds","score":0.9710000157356262},{"id":"https://openalex.org/keywords/exchange-trading","display_name":"exchange trading","score":0.5120000243186951}],"concepts":[{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.8005350828170776},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.72825688123703},{"id":"https://openalex.org/C201736846","wikidata":"https://www.wikidata.org/wiki/Q5183773","display_name":"Credit event","level":5,"score":0.6899043321609497},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.6810006499290466},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6571167707443237},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.650041937828064},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.6212813258171082},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.6199920177459717},{"id":"https://openalex.org/C68842666","wikidata":"https://www.wikidata.org/wiki/Q1070699","display_name":"Credit history","level":2,"score":0.4993877410888672},{"id":"https://openalex.org/C99821215","wikidata":"https://www.wikidata.org/wiki/Q1136583","display_name":"Swap (finance)","level":2,"score":0.4811231195926666},{"id":"https://openalex.org/C205208723","wikidata":"https://www.wikidata.org/wiki/Q372765","display_name":"Credit rating","level":2,"score":0.4800792336463928},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.4712788462638855},{"id":"https://openalex.org/C204434749","wikidata":"https://www.wikidata.org/wiki/Q105611","display_name":"Hedge fund","level":2,"score":0.46341580152511597},{"id":"https://openalex.org/C180879305","wikidata":"https://www.wikidata.org/wiki/Q590998","display_name":"Credit crunch","level":2,"score":0.4544827938079834},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.4448033273220062},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.44251298904418945},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.42638924717903137},{"id":"https://openalex.org/C31348098","wikidata":"https://www.wikidata.org/wiki/Q3423719","display_name":"Credit enhancement","level":4,"score":0.41719985008239746},{"id":"https://openalex.org/C170119771","wikidata":"https://www.wikidata.org/wiki/Q2132363","display_name":"Installment credit","level":5,"score":0.4166436791419983},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"pmh:oai:RePEc:fip:fedaer:y:2007:i:q4:p:1-24:n:v.92no.4","doi":null,"is_oa":false,"landing_page_url":"http://www.frbatlanta.org/filelegacydocs/erq407_mengle.pdf","pdf_url":"http://www.frbatlanta.org/filelegacydocs/erq407_mengle.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.575.4374","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.575.4374","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.frbatlanta.org/news/conferen/07fmc/07FMC_mengle.pdf","raw_type":"text"},{"id":"mag:2128615330","doi":null,"is_oa":false,"landing_page_url":"https://www.frbatlanta.org/-/media/Documents/news/conferences/2007/financial-markets-conference/mengle.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S134988049","display_name":"Econometric Reviews","issn_l":"0747-4938","issn":["0747-4938","1532-4168"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","erih-plus","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Econometric Reviews","raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":8,"referenced_works":["https://openalex.org/W295653788","https://openalex.org/W357107888","https://openalex.org/W400237969","https://openalex.org/W626374757","https://openalex.org/W1481741308","https://openalex.org/W1491875555","https://openalex.org/W1977308428","https://openalex.org/W2916195078"],"related_works":["https://openalex.org/W7099681381","https://openalex.org/W7019868819","https://openalex.org/W3123165716","https://openalex.org/W2564725009","https://openalex.org/W2581662974","https://openalex.org/W2599216970","https://openalex.org/W2020223217","https://openalex.org/W1499925404","https://openalex.org/W60965918","https://openalex.org/W7154149979"],"abstract_inverted_index":{"Arising":[0],"from":[1,36,160],"financial":[2],"institutions'":[3],"need":[4],"to":[5,39,57,182,190],"hedge":[6,144,167],"and":[7,59,76,87,94,99,129,139,155],"diversify":[8],"credit":[9,11,22,29,42,64,79,97,115,131,153,185],"risk,":[10],"derivatives":[12,23,186],"have":[13,149],"now":[14],"become":[15],"a":[16],"major":[17,55,118],"investment":[18],"tool.":[19],"Almost":[20],"all":[21],"take":[24],"the":[25,28,54,73,92,111,117,134,140,147,174,176],"form":[26],"of":[27,85,96,114,136,143,173],"default":[30,34,43,65,80],"swap,":[31],"which":[32],"transfers":[33],"risk":[35],"one":[37],"party":[38],"another.":[40],"Most":[41],"swaps":[44,66],"were":[45],"once":[46],"written":[47],"on":[48,67],"single":[49],"names,":[50],"but":[51],"since":[52],"2004":[53],"impetus":[56],"growth":[58],"market":[60,77],"liquidity":[61],"has":[62],"been":[63,150],"indexes.":[68],";":[69,105],"This":[70],"paper":[71],"examines":[72],"mechanics,":[74],"risks,":[75],"for":[78],"swaps,":[81],"provides":[82],"an":[83,161,170],"overview":[84],"pricing":[86],"dealers'":[88],"risk-management":[89],"role,":[90],"discusses":[91],"costs":[93],"benefits":[95],"derivatives,":[98,116],"outlines":[100],"some":[101],"recent":[102],"policy":[103],"issues.":[104],"The":[106],"author":[107],"notes":[108],"that,":[109],"in":[110,126,163],"early":[112],"years":[113],"challenges":[119,148],"facing":[120],"these":[121],"instruments":[122],"involved":[123],"resolving":[124],"ambiguities":[125],"reference":[127],"entities":[128],"defining":[130],"events.":[132],"Since":[133],"introduction":[135],"index":[137],"trading":[138],"widespread":[141],"entry":[142],"funds,":[145],"however,":[146],"settlement":[151],"after":[152],"events":[154],"addressing":[156],"operational":[157],"backlogs":[158],"stemming":[159],"increase":[162],"novations.":[164],"Now":[165],"that":[166],"funds":[168],"are":[169],"established":[171],"part":[172],"market,":[175],"next":[177],"important":[178],"issue":[179],"is":[180],"likely":[181],"be":[183],"whether":[184],"activity":[187],"will":[188],"move":[189],"exchanges.":[191]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":11},{"year":2013,"cited_by_count":11},{"year":2012,"cited_by_count":16}],"updated_date":"2026-11-05T12:25:35.769452","created_date":"2016-06-24T00:00:00"}