Credit derivatives trading, investing and risk management
The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough unde...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, UK :
John Wiley
2010.
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| Edición: | 2nd ed |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628173606719 |
Tabla de Contenidos:
- Credit Derivatives; Contents; Preface to the First Edition; Preface to the Second Edition; Acknowledgements; Disclaimer; Table of Spreadsheet Examples and Software; About the Author; PART I CREDIT BACKGROUND AND CREDIT DERIVATIVES; 1 Credit Debt and Other Traditional Credit Instruments; 2 Default and Recovery Data; Transition Matrices; Historical Pricing; 3 Asset Swaps and Asset Swap Spread; z-Spread; 4 Liquidity, the Credit Pyramid and Market Data; 5 Traditional Counterparty Risk Management; 6 Credit Portfolios and Portfolio Risk; 7 Introduction to Credit Derivatives
- PART II CREDIT DEFAULT SWAPS AND OTHER SINGLE NAME PRODUCTS8 Credit Default Swaps; Product Description and Simple Applications; 9 Valuation and Risk: Basic Concepts and the Default and Recovery Model; 10 CDS Deal Examples; 11 CDS/Bond Basis Trading; 12 Forward CDS; Back-to-Back CDS, Mark to Market and CDS Unwind; 13 Credit-Linked Notes; 14 Digital or 'Fixed Recovery' CDS; 15 Spread Options, Callable/Puttable Bonds, Callable Asset Swaps, Callable Default Swaps; 16 Total Return Swaps; 17 Single Name Book Management; 18 CDS and Simulation; PART III PORTFOLIO PRODUCTS
- 19 Portfolio Product Types20 The Normal Copula and Correlation; 21 Correlation in Practice; 22 Valuation and Hedging; 23 Alternative Copulas; 24 Correlation Portfolio Management; PART IV DEFAULT SWAPS INCLUDING COUNTERPARTY RISK; 25 Single Name CDS; 26 Counterparty CDSs; PART V SYSTEMS IMPLEMENTATION AND TESTING; 27 Mathematical Model and Systems Validation; 28 System Implementation; PART VI THE CREDIT CRISIS; 29 Cause and Effect: Credit Derivatives and the Crisis of 2007; Appendix Markit Credit and Loan Indices; References; Index
