β Scribed by Mark Jonathan Paul Anson
No coin nor oath required. For personal study only.
An essential guide to credit derivativesCredit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products.Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers.Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Credit Derivatives: Instruments, Applications, and Pricing......Page 4
Contents......Page 8
PREFACE......Page 10
ABOUT THE AUTHORS......Page 12
CHAPTER 1 Introduction......Page 14
CHAPTER 2 Types of Credit Risk......Page 36
CHAPTER 3 Credit Default Swaps......Page 60
CHAPTER 4 Asset Swaps and the Credit Default Swap Basis......Page 94
CHAPTER 5 Total Return Swaps......Page 112
CHAPTER 6 Credit-Linked Notes......Page 132
CHAPTER 7 Synthetic Collateralized Debt Obligation Structures......Page 144
CHAPTER 8 Credit Risk Modeling: Structural Models......Page 192
CHAPTER 9 Credit Risk Modeling: Reduced Form Models......Page 214
CHAPTER 10 Pricing of Credit Default Swaps......Page 236
CHAPTER 11 Options and Forwards on Credit-Related Spread Products......Page 268
CHAPTER 12 Accounting for Credit Derivatives......Page 288
CHAPTER 13 Taxation of Credit Derivatives......Page 312
INDEX......Page 332
π SIMILAR VOLUMES
This book brings together some high quality talent and it shows - a good buy and a useful reference on credit derivatives.
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. <i>Credit Derivatives Pric
Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The cente
</div><div class='box-content'><ul><li><p><span class=''review_text''>''This enjoyable book on credit derivatives will be useful to both students of finance and practitioners. Bomfim does for credit what Hull does for options, futures and other derivatives.'' --Kay Giesecke, Visiting Assistant Profe
The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990s to over $2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developments i