Credit Derivatives and Credit Linked Notes
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Kreditderivate haben sich zu einem wichtigen Finanzinstrument entwickelt. Sie haben das Kreditrisikomanagement im Bank- und Kapitalmarktbereich revolutioniert. Diese 2. gründlich überarbeitete und aktualisierte Auflage erläutert, wie diese Finanzinstrumente zur Absicherung des Risikos strukturiert, angewendet und bewertet werden. Darüber hinaus sind einige neue Themen hinzugekommen, wie z.B. Credit-Linked Notes (Kombination eines Credit Default Swap mit einer Anleihe), Pricing Modelle, Ausfallstatistiken, Kreditportfoliomanagement, rechtliche Rahmenbedingungen für Kreditderivate sowie Mar...
Kreditderivate haben sich zu einem wichtigen Finanzinstrument entwickelt. Sie haben das Kreditrisikomanagement im Bank- und Kapitalmarktbereich revolutioniert. Diese 2. gründlich überarbeitete und aktualisierte Auflage erläutert, wie diese Finanzinstrumente zur Absicherung des Risikos strukturiert, angewendet und bewertet werden. Darüber hinaus sind einige neue Themen hinzugekommen, wie z.B. Credit-Linked Notes (Kombination eines Credit Default Swap mit einer Anleihe), Pricing Modelle, Ausfallstatistiken, Kreditportfoliomanagement, rechtliche Rahmenbedingungen für Kreditderivate sowie Marktentwicklungen und -aussichten.
An updated and enhanced look at the management and trading of credit risk in terms of the markets, regulations, and nature of the product
Credit derivatives have emerged as a significant area in global derivatives and risk management practice. These instruments have begun to revolutionize the management of credit risk in banking and capital markets. This book clearly explains how to structure and apply these products to solve risk management problems as well as how to price and value these instruments. Readers will find the Second Edition completely up-to-date with the latest information in the field. New topics have been added, including credit-linked notes, pricing models, default statistics, credit portfolio management, regulatory framework for credit derivatives, and market developments and prospects. This edition reflects the rapid evolution in the market and new contributors provide additional insight that readers will find beneficial.
Satyajit Das (Singapore) is the author of several key financial books including Swap Financing; Swaps and Financial Derivatives: The Global Reference to Products, Pricing, Applications and Markets; and Exotic Options.
List of Contributors.
About the Contributors.
Introduction.
PRODUCTS AND STRUCTURES.
Credit Derivative - Products (S. Das).
Credit Linked Notes - Structured Notes (S. Das).
Credit Linked Notes - Repackaged Notes and Repackaging Vehicles (S. Das).
Credits Linked Notes - Credit Portfolio Securitization Structures (S. Das).
APPLICATIONS.
Credit Derivatives - Applications (S. Das).
PRICING AND VALUATION ISSUES.
Modeling Credit Risk / Pricing Credit Derivative Instruments (S. Das).
Using Default Rates to Model Term Structure of Credit Risk (J. Fons).
Analytics and Algorithms for Credit Derivatives (H. Stedman).
Modeling Default Risk (P. Crosbie).
Historical Defaults and Recoveries for Corporate Bonds (S. Keenan, et al.).
Credit Rating Dynamics: Moody's Watchlist, Rating Migration, and Credit Quality Correlation (S. Keenan, et al.).
CREDIT PORTFOLIO MANAGEMENT.
Overview to Credit Risk Modeling (A. Hickman).
CreditMetrics(TM): Assessing the Marginal Risk Contribution of Credit (G. Gupton).
CREDITRISK(+TM) (T. Wilde).
MARKETS.
The Market for Credits Derivatives (R. Reoch).
RATINGS, DOCUMENTATION ACCOUNTING, AND TAXATION ISSUES.
Ratings Implications for Credits Derivatives (N. Anderson).
Documentation and Legal Issues (C. Whiteley).
Accounting for Credit Derivatives (PricewaterhouseCoopers).
Credit Derivatives and Credit Linked Notes - Regulatory Treatment (S. Das).
CONCLUSIONS.
Credit Derivatives and Credit Risk Management - Evolution and Prospects (S. Das).
Index.
An updated and enhanced look at the management and trading of credit risk in terms of the markets, regulations, and nature of the product
Credit derivatives have emerged as a significant area in global derivatives and risk management practice. These instruments have begun to revolutionize the management of credit risk in banking and capital markets. This book clearly explains how to structure and apply these products to solve risk management problems as well as how to price and value these instruments. Readers will find the Second Edition completely up-to-date with the latest information in the field. New topics have been added, including credit-linked notes, pricing models, default statistics, credit portfolio management, regulatory framework for credit derivatives, and market developments and prospects. This edition reflects the rapid evolution in the market and new contributors provide additional insight that readers will find beneficial.
Satyajit Das (Singapore) is the author of several key financial books including Swap Financing; Swaps and Financial Derivatives: The Global Reference to Products, Pricing, Applications and Markets; and Exotic Options.
List of Contributors.
About the Contributors.
Introduction.
PRODUCTS AND STRUCTURES.
Credit Derivative - Products (S. Das).
Credit Linked Notes - Structured Notes (S. Das).
Credit Linked Notes - Repackaged Notes and Repackaging Vehicles (S. Das).
Credits Linked Notes - Credit Portfolio Securitization Structures (S. Das).
APPLICATIONS.
Credit Derivatives - Applications (S. Das).
PRICING AND VALUATION ISSUES.
Modeling Credit Risk / Pricing Credit Derivative Instruments (S. Das).
Using Default Rates to Model Term Structure of Credit Risk (J. Fons).
Analytics and Algorithms for Credit Derivatives (H. Stedman).
Modeling Default Risk (P. Crosbie).
Historical Defaults and Recoveries for Corporate Bonds (S. Keenan, et al.).
Credit Rating Dynamics: Moody's Watchlist, Rating Migration, and Credit Quality Correlation (S. Keenan, et al.).
CREDIT PORTFOLIO MANAGEMENT.
Overview to Credit Risk Modeling (A. Hickman).
CreditMetrics(TM): Assessing the Marginal Risk Contribution of Credit (G. Gupton).
CREDITRISK(+TM) (T. Wilde).
MARKETS.
The Market for Credits Derivatives (R. Reoch).
RATINGS, DOCUMENTATION ACCOUNTING, AND TAXATION ISSUES.
Ratings Implications for Credits Derivatives (N. Anderson).
Documentation and Legal Issues (C. Whiteley).
Accounting for Credit Derivatives (PricewaterhouseCoopers).
Credit Derivatives and Credit Linked Notes - Regulatory Treatment (S. Das).
CONCLUSIONS.
Credit Derivatives and Credit Risk Management - Evolution and Prospects (S. Das).
Index.