Satyajit Das

Credit Derivatives

Trading and Management of Credit and Default Risk
Mitwirkender: Das, Satyajit

• Gebundenes Buch

Produktdetails

• Verlag: Wiley & Sons
• Seitenzahl: 564
• Englisch
• Abmessung: 245mm
• ISBN-13: 9780471248569
• Artikelnr.: 62322736

Inhaltsangabe

From the contents: PRODUCTS AND STRUCTURES. Credit Derivative - Instuments (S. Das). Credit-Linked Structured Notes (S. Das). APPLICATIONS. Credit Derivatives-Applications (S. Das). PRICING AND VALUATION ISSUES. Valuation and Pricing of Credit Derivatives (S. Das). Using Default Rates to Model the Term Structures of Credit Risk (J. Fons). Analytics and Algorithms for Credit Derivatives (H. Stedman). CreditMetrics(TM): Assessing the Marginal Risk Contribution of Credit (G. Gupton). Modeling Default Risk (P. Crosbie). Historical Default Rates of Corporate Bond Issuers 1920-1996 (L. Carty & D. Lieberman). Moody's Rating Migration and Credit Quality Correlation 1920-1996 (L. Carty). MARKETS. The Market for Credit Derivatives (R. Reoch). RATING, DOCUMENTATION, ACCOUNTING AND TAXATION ISSUES. Rating Implications of Credit Derivatives (N. Anderson). Legal, Documentation and Regulatory Issues of Credit Derivatives (C. Brown). Accounting and Taxation Implications of Cred it Derivatives (P. Waterhouse). CONCLUSIONS. Developments in the Market for Credit Derivatives (S. Das). Index.