Credit derivatives : instruments, applications and pricing / Mark J.P. Anson ... [et al.].

Format:

Book

Contributor:

Anson, Mark Jonathan Paul.

Series:

Frank J. Fabozzi series.

The Frank J. Fabozzi Series

Language:

English

Subjects (All):

Credit derivatives.

Physical Description:

1 online resource (353 p.)

Edition:

1st ed.

Place of Publication:

Hoboken, N.J. : Wiley, c2004.

Language Note:

English

Summary:

An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative

Contents:

Credit Derivatives: Instruments, Applications, and Pricing; Contents; PREFACE; ABOUT THE AUTHORS; CHAPTER 1 Introduction; CHAPTER 2 Types of Credit Risk; CHAPTER 3 Credit Default Swaps; CHAPTER 4 Asset Swaps and the Credit Default Swap Basis; CHAPTER 5 Total Return Swaps; CHAPTER 6 Credit-Linked Notes; CHAPTER 7 Synthetic Collateralized Debt Obligation Structures; CHAPTER 8 Credit Risk Modeling: Structural Models; CHAPTER 9 Credit Risk Modeling: Reduced Form Models; CHAPTER 10 Pricing of Credit Default Swaps; CHAPTER 11 Options and Forwards on Credit-Related Spread Products

CHAPTER 12 Accounting for Credit Derivatives CHAPTER 13 Taxation of Credit Derivatives; INDEX

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

1-280-36822-5

9786610368228

0-471-65238-5

OCLC:

54751084