Cargando…
An introduction to credit derivatives /
The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks th...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford, UK ; Waltham, MA :
Elsevier Butterworth-Heinemann,
©2013.
|
| Edición: | 2nd ed. |
| Colección: | Finance professional collection
|
| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- Front Cover; An Introduction to Credit Derivatives; Copyright Page; Dedication; Contents; About the Author; Foreword; Preface; Preface to the First Edition; 1 Credit Risk; 1.1 The Concept of Synthetic Investment; Cash Investment; Synthetic Investment; Real-World Application; Cash Investment; Synthetic Investment; 1.2 Banks and Credit Risk Transfer; 1.3 Credit Risk and Credit Ratings; 1.3.1 Credit Risk; Credit Default Risk; Credit Spread Risk; 1.3.2 Credit Ratings; 1.3.3 Understanding Credit Ratings; Purpose of Credit Ratings; Formal Credit Ratings; 1.4 Corporate Recovery Rates.
- 1.4.1 Recovery Rates1.4.2 Observation From Before 2008 Crash; 2 Credit Derivative Instruments; 2.1 Credit Risk and Credit Derivatives; 2.1.1 Credit Events; 2.2 Credit Derivative Instruments; 2.2.1 Introduction; 2.2.2 Funded and Unfunded Contracts; 2.3 Credit Default Swaps; 2.3.1 Structure; 2.3.2 Basket Default Swaps; 2.3.3 Unwinding a CDS Position; 2.4 Asset swaps; 2.4.1 Description; 2.4.2 Illustration Using Bloomberg; 2.5 Total Return Swaps; 2.6 Index CDS: The iTraxx Index; 2.7 Settlement; 2.7.1 Contract Settlement Options; 2.7.2 Market Requirements; 2.7.3 Cash Settlement Mechanics.
- 2.8 Risks in Credit Default Swaps2.8.1 Unintended Risks in Credit Default Swaps; 2.8.2 Extending Loan Maturity; 2.8.3 Risks of Synthetic Positions and Cash Positions Compared; 2.9 Impact of the 2007-2008 Financial Crash: New CDS Contracts and the CDS 'Big Bang'; 2.9.1 The CDS 'Big Bang'; 2.9.2 CDS and Points Upfront; 2.9.3 Contract Changes; References; Appendices; 3 Credit Derivative Instruments; 3.1 Credit-Linked Notes; 3.1.1 Description of CLNs; 3.1.2 Illustrations; 3.2 CLNs and Structured Products; 3.2.1 Simple Structure; 3.2.2 The First-To-Default Credit-Linked Note; References.
- 4 Credit Derivatives: Basic Applications4.1 Managing Credit Risk; 4.2 Credit Derivatives and Relative Value Trading; 4.2.1 Credit Selection; 4.2.2 Credit Pair Trade; 4.2.3 Basket Credit Structure Trade; 4.3 Bond Valuation from CDS Prices: Bloomberg Screen VCDS; 4.4 Relative Value Trading: Sovereign Names; 4.4.1 Rationale; 4.4.2 Example Trade Cash Flows: June 2009; 4.5 Applications of Total Return Swaps; 4.5.1 Capital Structure Arbitrage; 4.5.2 Synthetic Repo; 4.5.3 The TRS as Off-Balance-Sheet Funding Tool; 4.6 Applications for Portfolio Managers; 4.6.1 Enhancing Portfolio Returns.
- 4.6.2 Reducing Credit Exposure4.6.3 Credit Switches and Zero-Cost Credit Exposure; 4.6.4 Exposure to Market Sectors; 4.6.5 Credit Spreads; Reference; 5 Credit Derivatives Pricing and Valuation; 5.1 Introduction; 5.2 Pricing Models; 5.2.1 Structural Models; 5.2.2 Reduced Form Models; Jarrow, Lando and Turnbull (JLT) Model; Das-Tufano Model; Duffie-Singleton Approach; Recovery Rates; 5.3 Credit Spread Modelling; 5.4 Product Pricing Approach; 5.4.1 The Forward Credit Spread; 5.4.2 Asset Swaps Pricing; 5.4.3 Total Return Swap (TRS) Pricing; 5.5 Credit Curves; References.