Credit derivatives have become an important tool for banks, financial institutions, and corporations who desire greater flexibility in managing their credit risk and economic capital. Credit Derivatives and Structured Credit not only deals with products and pricing issues, but it also enables readers to understand what drives the rise of credit derivatives and the implications of this fundamental shift in the financial markets.
Credit derivatives and structured credit A Guide for Investors Richard Bruyere with Rama Cont, Rgis Copinot, Loc Fery, Christophe Jaeck and Thomas Spitz Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps - the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: * Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market * A clearly-written, pedagogical book with numerous illustrations * Detailed review of real-case transactions * A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends
Aus dem Inhalt:
Foreword. Introduction. Chapter 1 Credit Risk and the Emergence of Credit Derivatives. 1.1 Credit risk. 1.2 Assessment and measurement of credit risks. 1.3 Traditional methods of credit risk management and the emergence of credit derivatives. Chapter 2 Typology of Credit Derivatives and their Main Applications. 2.1 Credit default swaps. 2.2 Other credit derivatives. 2.3 Main applications of credit derivatives. Chapter 3 Second-Generation Credit Derivatives. 3.1 Basket credit default swaps. 3.2 Hybrid products. 3.3 Credit indices. Chapter 4 Collateralized Debt Obligations. 4.1 Cash-flow CDOs (Arbitrage CBOs and CLOs). 4.2 Balance sheet-driven CDOs. 4.3 Arbitrage-driven synthetic CDOs. Chapter 5 The Credit Derivatives and Structured Credit Products Market. 4.1 Overview of the market. 5.2 Main players. 5.3 Art at the heart of the market: The investment banks. Chapter 6 Pricing Models for Credit Derivatives. 6.1 Structural models. 6.2 Reduced-form models. 6.3 Pricing models for multi-name credit derivatives. 6.4 Discussion. Chapter 7 The Impact of the Development in Credit Derivatives. 7.1 The impact of the growth in credit derivatives on banking institutions. 7.2 Credit derivatives and financial regulations. 7.3 Credit derivatives: A financial revolution?. Conclusion. References. Further reading. Index.
Credit derivatives and structured credit A Guide for Investors Richard Bruyere with Rama Cont, Rgis Copinot, Loc Fery, Christophe Jaeck and Thomas Spitz Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps - the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: * Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market * A clearly-written, pedagogical book with numerous illustrations * Detailed review of real-case transactions * A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends
Credit derivatives and structured credit A Guide for Investors Richard Bruyere with Rama Cont, Rgis Copinot, Loc Fery, Christophe Jaeck and Thomas Spitz Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps - the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: * Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market * A clearly-written, pedagogical book with numerous illustrations * Detailed review of real-case transactions * A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends
Aus dem Inhalt:
Foreword. Introduction. Chapter 1 Credit Risk and the Emergence of Credit Derivatives. 1.1 Credit risk. 1.2 Assessment and measurement of credit risks. 1.3 Traditional methods of credit risk management and the emergence of credit derivatives. Chapter 2 Typology of Credit Derivatives and their Main Applications. 2.1 Credit default swaps. 2.2 Other credit derivatives. 2.3 Main applications of credit derivatives. Chapter 3 Second-Generation Credit Derivatives. 3.1 Basket credit default swaps. 3.2 Hybrid products. 3.3 Credit indices. Chapter 4 Collateralized Debt Obligations. 4.1 Cash-flow CDOs (Arbitrage CBOs and CLOs). 4.2 Balance sheet-driven CDOs. 4.3 Arbitrage-driven synthetic CDOs. Chapter 5 The Credit Derivatives and Structured Credit Products Market. 4.1 Overview of the market. 5.2 Main players. 5.3 Art at the heart of the market: The investment banks. Chapter 6 Pricing Models for Credit Derivatives. 6.1 Structural models. 6.2 Reduced-form models. 6.3 Pricing models for multi-name credit derivatives. 6.4 Discussion. Chapter 7 The Impact of the Development in Credit Derivatives. 7.1 The impact of the growth in credit derivatives on banking institutions. 7.2 Credit derivatives and financial regulations. 7.3 Credit derivatives: A financial revolution?. Conclusion. References. Further reading. Index.
Credit derivatives and structured credit A Guide for Investors Richard Bruyere with Rama Cont, Rgis Copinot, Loc Fery, Christophe Jaeck and Thomas Spitz Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps - the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: * Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market * A clearly-written, pedagogical book with numerous illustrations * Detailed review of real-case transactions * A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends