Understanding Credit Derivatives and Related Instruments

✍ Scribed by Antulio N. Bomfim (Auth.)

• Publisher: Academic Press
• Year: 2005
• Tongue: English
• Leaves: 323
• Category: Library

✦ Synopsis

• ''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 Professor, School of Operations Research and Industrial Engineering, Cornell University ''Antulio Bomfin's exploration of the pricing and valuation of credit derivatives is extraordinarily accessible and therefore will serve as an essential primer for those unfamiliar with credit derivative markets. At the same time, the depth of discourse in Understanding Credit Derivatives will be appreciated by experts who seek a better grounding in the fundamental principles of this complex market.'' -- Heidi Mandanis Schooner, Visiting Professor of Law, George Washington University Law School ''Comprehensive in coverage, economical in exposition, very accessible, and a pleasure to read - this book covers the gamut of issues in modern credit modeling in a manner that will appeal to practitioners, academics and students.'' -- Sanjiv Das, Professor of Finance, Santa Clara University ''...offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, the book offers intuitive, yet rigorous summaries of the major subjects. Its centerpiece focuses on pricing and valuation issues, especially discussions of different valuation tools and their application to credit models.'' -- Gunter Dufey, Prof. em., The University of Michigan; Prof. of Banking and Finance, Nanyang Technological University - NBS, Singapore ''Understanding Credit Derivatives and Related Instruments'' is a most valuable offering in this rapidly expanding area of finance. The book provides an introduction to the credit derivatives market for the uninitiated and then addresses the pricing and valuing of these instruments, as well as describing valuation tools and their use in credit models. The book also provides a most useful description of the documentation of credit derivative transactions under the ISDA forms that govern these transactions.'' -- Jerry Markham, Professor of Law, Florida International University ''...this is an outstanding book. I can't recommend it highly enough.'' - www.riskbook.com
  

✦ Table of Contents

Content:
- Contents, Pages vii-xiv
1 - Credit derivatives: A brief overview, Pages 3-15
2 - The credit derivatives market, Pages 17-27
3 - Main uses of credit derivatives, Pages 29-40
4 - Floating-rate notes, Pages 43-51
5 - Asset swaps, Pages 53-65
6 - Credit default swaps, Pages 67-82
7 - Total return swaps, Pages 83-90
8 - Spread and bond options, Pages 91-97
9 - Basket default swaps, Pages 99-106
10 - Portfolio default swaps, Pages 107-116
11 - Principal-orotected structures, Pages 117-122
12 - Credit-linked notes, Pages 123-126
13 - Repackaging vehicles, Pages 127-131
14 - Synthetic CDOs, Pages 133-141
15 - Valuing defaultable bonds, Pages 145-156
16 - The credit curve, Pages 157-169
17 - Main credit modeling approaches, Pages 171-204
18 - Valuing credit options, Pages 205-211
19 - The basics of portfolio credit risk, Pages 215-238
20 - Valuing basket default swaps, Pages 239-248
21 - Valuing portfolio swaps and CDOs, Pages 249-260
22 - A Quick tour of commercial models, Pages 261-265
23 - Modeling counterparty credit risk, Pages 267-281
24 - Anatomy of a CDS transaction, Pages 285-297
25 - A primer on bank regulatory issues, Pages 299-304
Appendix A - Basic concepts from bond math, Pages 305-311
Appendix B - Basic concepts from statistics, Pages 313-323
Bibliography, Pages 325-330
Index, Pages 331-339