Credit Derivatives

Credit Derivatives PDF Book Detail:
Author: Mark J. P. Anson
Publisher: John Wiley & Sons
ISBN: 9780471652380
Size: 65.88 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 288
View: 5679

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Book Description: An essential guide to credit derivatives Credit 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.

Understanding Credit Derivatives And Related Instruments

Understanding Credit Derivatives and Related Instruments PDF Book Detail:
Author: Antúlio Neves Bomfim
Publisher: Academic Press
ISBN: 0121082652
Size: 47.72 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 339
View: 2058

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Book Description: Comprehensive introduction to the main isues in the credit derivatives market, including an accessible introduction to valuation methods.

Credit Derivatives

Credit Derivatives PDF Book Detail:
Author: Gunter Meissner
Publisher: John Wiley & Sons
ISBN: 1405137460
Size: 19.11 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 248
View: 1181

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Book Description: The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives.

Mastering Credit Derivatives

Mastering Credit Derivatives PDF Book Detail:
Author: Andrew Kasapis
Publisher: Pearson Education
ISBN: 9780273714859
Size: 71.27 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 277
View: 218

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Book Description: The up-to-date, comprehensive, easy-to-understand guide to credit derivatives: practical information for professionals. bull; Thoroughly revised, with entirely new sections on structured credit derivatives, Greeks, and tranche sensitivity. bull; Includes crucial new insights into how the subprime mortgage crisis has affected the creation and sale of credit derivatives. bull; Designed to help financial professionals succeed with derivatives, regardless of their responsibilities or current market conditions.

An Introduction To Credit Derivatives

An Introduction to Credit Derivatives PDF Book Detail:
Author: Moorad Choudhry
Publisher: Elsevier
ISBN: 0080478727
Size: 77.92 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 128
View: 3635

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Book Description: In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and economic capital. This book is an accessible introduction to the various types of credit derivative instruments traded in the markets today. All products are described with the help of worked examples and Bloomberg screens, and the reader will be left with a thorough familiarity with the nature of credit risk and credit products generally. Topics covered include: * Credit risk * Unfunded credit derivatives * Funded credit derivatives * Credit default swap pricing * The asset-swap credit default swap basis * Accessible account of major segment of financial markets * Describes instruments and applications * Integrates credit risk with credit derivatives

Modeling Credit Risk And Pricing Credit Derivatives

Modeling Credit Risk and Pricing Credit Derivatives PDF Book Detail:
Author: Martin P. Wolf
Publisher: Universal-Publishers
ISBN: 1581121458
Size: 49.43 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages :
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Book Description: The thesis starts with a short description of the credit derivatives' place in the credit risk management. Then it proceeds by outlining the basic forms of credit derivatives, their applications, and their contract elements. A short description of the two common pricing frameworks for credit derivatives, the Firm's Value Models and the Credit Rating Transition Models is given. The major approach reviewed in this thesis is the one of Duffie-Singleton for valuing credit derivatives with term structure models. This framework is also applied in a simulation and examines the importance of the different parameters on the outcome. Also examples for the valuation of Default Digital Swaps and Puts as well as Credit Default Swaps and Puts are given.

Credit Derivatives And Synthetic Structures

Credit Derivatives and Synthetic Structures PDF Book Detail:
Author: Janet M. Tavakoli
Publisher: John Wiley & Sons
ISBN: 9780471412663
Size: 53.71 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 312
View: 7178

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Book Description: Fully revised and updated Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures. "If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book." --Merton H. Miller, winner, Nobel Prize in Economics, 1990 "Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.

Default Risk In Bond And Credit Derivatives Markets

Default Risk in Bond and Credit Derivatives Markets PDF Book Detail:
Author: Christoph Benkert
Publisher: Springer Science & Business Media
ISBN: 9783540220411
Size: 19.31 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 135
View: 4734

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Book Description: Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising specifications is tested using corporate bond data. The book provides one of the most comprehensive empirical studies in the field, from Kalman filtration of affine term structure models to the use of Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in empirical research, the book devotes special attention to the identification factors that can explain credit default swap premia.

Subprime Mortgage Credit Derivatives

Subprime Mortgage Credit Derivatives PDF Book Detail:
Author: Laurie S. Goodman
Publisher: John Wiley & Sons
ISBN: 0470392746
Size: 31.78 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 334
View: 662

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Book Description: Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.

Credit Derivatives

Credit Derivatives PDF Book Detail:
Author: Geoff Chaplin
Publisher: John Wiley & Sons
ISBN: 0470024178
Size: 20.76 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 336
View: 2559

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Book Description: The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related ‘real world’ issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides: A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring Analysis of the industry standard ‘default and recovery’ and Copula models including many examples, and a description of the models’ shortcomings Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management A thorough analysis of counterparty risk An intuitive understanding of credit correlation in reality and in the Copula model The CD in the back of this book includes an Evaluation Version of Mathcad® 12 Single User Edition, which is reproduced by permission. This software is a fully-functional trial of Mathcad which will expire 30 days from installation. For technical support or more information see http://www.mathcad.com.