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Credit Derivatives

Satyajit Das (Gebundene Ausgabe, Englisch)

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Beschreibung

A complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions. Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author. The First Edition of Credit Derivatives was published in 1998. It was designed to meet the growing interest in complex instruments. An updated Second Edition was released in 2000. Credit Derivatives, CDOs & Structured Credit Products 3rd Edition offers comprehensive information on credit derivative products (both standard and structured), documentation issues, pricing/ valuation approaches, applications and the market. Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author. Key areas of new/ enhanced coverage include: * Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations). * Description of developments in structured credit products including: 1. Portfolio products 2. Up-front credit default swaps 3. Quanto credit default swaps 4. Credit swaptions 5. Zero recovery credit default swaps 6. First-to-default swaps/ Nth -to-default swaps 7. Asset swaptions/ synthetic lending facilities/ structured asset swaps 8. Constant maturity credit spread products and constant maturity credit default swaps 9. Credit index products 10. Equity default swaps * Increased coverage of credit linked notes including repackaging structures. * Detailed discussion of the collateralised debt obligations ("CDO") market including: 1. CDO structures 2. Pricing and valuation 3. Rating methodology 4. CDO variations (including SME CDOs, structured finance/ ABS CDOs, collateralised fund obligations ("CFOs"). 5. Single tranche CDOs 6. Hedging of CDO tranches (including credit deltas and other Greeks and default correlation risk). 7. Behavior of CDO tranche (equity, mezzanine, senior and super senior) investments. * Increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior. * Coverage of E2C (equity to credit) hedging. * Detailed examples of applications of credit derivatives by different market participants. * Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades. * Updated coverage of regulatory framework for credit derivatives. * Updated discussion of market structures, developments and prospects. Weniger zeigen

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Produktinformationen

Technische Daten

Erscheinungsdatum

15.04.2005

Sprache

Englisch

EAN

9780470821596

Herausgeber

John Wiley & Sons

Sonderedition

Nein

Autor

Satyajit Das

Seitenanzahl

816

Auflage

Einbandart

Gebundene Ausgabe

Buch Untertitel

CDOs and Structured Credit Products

Schlagwörter

Derivat (Wertpapier), Kreditrisiko, Risikomanagement

Inhaltsverzeichnis

Introduction Credit Derivative Products Structured Credit Products 3 Credit Linked Notes Collateralised Debt Obligations Credit Derivatives Pricing and Valuation Credit Modelling/Credit Portfolio Management Credit Derivative Applications Credit Derivative Markets

Höhe

239 mm

Breite

16.6 cm

Warnhinweise und Sicherheitsinformationen

Informationen nach EU Data Act

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