Understanding credit derivatives and related instruments
The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990's to over 2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developme...
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| Format: | eBook |
| Language: | Inglés |
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Amsterdam :
Elsevier Academic Press
c2005.
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| Series: | Academic Press advanced finance series.
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| Subjects: | |
| See on Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009755116106719 |
Table of Contents:
- Front Cover; Understanding Credit Derivatives and Related Instruments; Copyright Page; Contents; Part I: Credit Derivatives: Definition, Market, Uses; Chapter 1. Credit Derivatives: A Brief Overview; 1.1 What are Credit Derivatives?; 1.2 Potential ""Gains from Trade""; 1.3 Types of Credit Derivatives; 1.4 Valuation Principles; 1.5 Counterparty Credit Risk (Again); Chapter 2. The Credit Derivatives Market; 2.1 Evolution and Size of the Market; 2.2 Market Activity and Size by Instrument Type; 2.3 Main Market Participants; 2.4 Common Market Practices; Chapter 3. Main Uses of Credit Derivatives
- 3.1 Credit Risk Management by Banks 3.2 Managing Bank Regulatory Capital; 3.3 Yield Enhancement, Portfolio Diversification; 3.4 Shorting Corporate Bonds; 3.5 Other Uses of Credit Derivatives; 3.6 Credit Derivatives as Market Indicators; Part II: Main Types of Credit Derivatives; Chapter 4. Floating-Rate Notes; 4.1 Not a Credit Derivative...; 4.2 How Does It Work?; 4.3 Common Uses; 4.4 Valuation Considerations; Chapter 5. Asset Swaps; 5.1 A Borderline Credit Derivative...; 5.2 How Does It Work?; 5.3 Common Uses; 5.4 Valuation Considerations; Chapter 6. Credit Default Swaps
- 6.1 How Does It Work? 6.2 Common Uses; 6.3 Valuation Considerations; 6.4 Variations on the Basic Structure; Chapter 7. Total Return Swaps; 7.1 How Does It Work?; 7.2 Common Uses; 7.3 Valuation Considerations; 7.4 Variations on the Basic Structure; Chapter 8. Spread and Bond Options; 8.1 How Does It Work?; 8.2 Common Uses; 8.3 Valuation Considerations; 8.4 Variations on Basic Structures; Chapter 9. Basket Default Swaps; 9.1 How Does It Work?; 9.2 Common Uses; 9.3 Valuation Considerations; 9.4 Variations on the Basic Structure; Chapter 10. Portfolio Default Swaps; 10.1 How Does It Work?
- 10.2 Common Uses 10.3 Valuation Considerations; 10.4 Variations on the Basic Structure; Chapter 11. Principal-Protected Structures; 11.1 How Does It Work?; 11.2 Common Uses; 11.3 Valuation Considerations; 11.4 Variations on the Basic Structure; Chapter 12. Credit-Linked Notes; 12.1 How Does It Work?; 12.2 Common Uses; 12.3 Valuation Considerations; 12.4 Variations on the Basic Structure; Chapter 13. Repackaging Vehicles; 13.1 How Does It Work?; 13.2 Why Use Repackaging Vehicles?; 13.3 Valuation Considerations; 13.4 Variations on the Basic Structure; Chapter 14. Synthetic CDOs
- 14.1 Traditional CDOs 14.2 Synthetic Securitization; Part III: Introduction to Credit Modeling I: Single-Name Defaults; Chapter 15. Valuing Defaultable Bonds; 15.1 Zero-coupon Bonds; 15.2 Risk-neutral Valuation and Probability; 15.3 Coupon-paying Bonds; 15.4 Nonzero Recovery; 15.5 Risky Bond Spreads; 15.6 Recovery Rates; Chapter 16. The Credit Curve; 16.1 CDS-implied Credit Curves; 16.2 Marking to Market a CDS Position; 16.3 Valuing a Principal-protected Note; 16.4 Other Applications and Some Caveats; Chapter 17. Main Credit Modeling Approaches; 17.1 Structural Approach
- 17.2 Reduced-form Approach
