The Resource A risk-based analysis of credit derivatives under the U.S. SSRP standard (part 2)

A risk-based analysis of credit derivatives under the U.S. SSRP standard (part 2)

Label
A risk-based analysis of credit derivatives under the U.S. SSRP standard (part 2)
Title
A risk-based analysis of credit derivatives under the U.S. SSRP standard (part 2)
Creator
Subject
Language
  • eng
  • eng
Summary
This three-part special report addresses how the "substantially similar or related property" (SSRP) concept applies to credit derivatives and structured credit products under new section 901(l). This second installment examines the risk profile of credit derivatives and structured credit products and when they might be a position in SSRP to their reference obligations. It concludes that credit spreads are the key factor for credit derivatives and structured credit products referencing a single obligation, such as credit default swaps. It concludes that other factors, such as recover rates, become more important as the credit derivative or structured product references more obligations. It also addresses how structural features of various products, such as collateralized debt obligations, may affect this analysis
Citation source
In: Tax notes international. - Arlington. - Vol. 44 (2006),
http://library.link/vocab/creatorName
Bogos, N
Geographic coverage
North America
Language note
English
http://library.link/vocab/subjectName
  • credit derivative
  • swap
Label
A risk-based analysis of credit derivatives under the U.S. SSRP standard (part 2)
Instantiates
Publication
Note
Also available electronically 2006 WTD 227-6
Note
20061130
Label
A risk-based analysis of credit derivatives under the U.S. SSRP standard (part 2)
Publication
Note
Also available electronically 2006 WTD 227-6
Note
20061130

Library Locations

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      52.3736660 4.9336932
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