Does the cost of credit insurance affect the availability of credit? To answer this question, we couple comprehensive … bank-firm level CDS trading data from DTCC to the German credit register containing bilateral bank-firm credit exposures … of this decrease in insurance cost – these banks extend more credit to CDS traded and affected firms, and also hedge more …

Credit index options cannot be priced as simple vanilla options. In this paper we derive the pricing formula using both … replication method and linear annuity mapping. We develop a model-free process to calculate a VIX-like credit volatility index … based on observable credit index options market. We imply all model parameters from market traded data …