Understanding Credit Derivatives and Related Instruments, Second Edition, is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, it offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and up-front payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics and who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with Understanding Credit Derivatives and Related Instruments. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products (CDX, iTraxx, etc.) and CDS written on sovereigns INDICE: I - Definitions, Market, Uses 1 Credit Derivatives: A Brief Overview 2 The Credit Derivatives Market 3 Main Uses of Credit Derivatives II - Main Types of Credit Derivatives 4 Floating-Rate Notes 5 Asset Swaps 6 Credit Default Swaps 7 Total Return Swaps 8 Spread and Bond Options 9 Basket Default Swaps 10 Portfolio Default Swaps 11 Principal-Protected Structures 12 Credit-Linked Notes 13 Repackaging Vehicles 14 Synthetic CDOs 15 CDX Family of Indexes 16 CDS Technology Applied to Other Asset Classes CMBX, ABX III - Introduction to Credit Modeling I: Single Name Defaults 17 Valuing Defaultable Bonds 18 The Credit Curve 19 Main Credit Modeling Approaches 20 Valuing Credit Options IV: Introduction to Credit Modeling II: Portfolio Credit Risk 21 The Basics of Portfolio Credit Risk 22 Valuing Basket Default Swaps 23 Valuing Portfolio Swaps and CDOs 24 A Quick Tour of Commercial Models 25 Modeling Counterparty Credit Risk V - A Brief Overview of Documentation and Regulatory Issues 26 Anatomy of a CDS Transaction 27 A Primer on Bank Regulatory Issues VI Theory Meets the Real World 28 Hedging a CDS Position 29 An Overview of Common Trading Strategies 30 The Subprime Mortgage and European Sovereign Debt Crises
- ISBN: 978-0-12-800116-5
- Editorial: Academic Press
- Encuadernacion: Cartoné
- Páginas: 416
- Fecha Publicación: 01/08/2015
- Nº Volúmenes: 1
- Idioma: Inglés