Credit derivatives: trading, investing and risk management / Geoff Chaplin.

Format:

Book

Author/Creator:

Chaplin, Geoff.

Series:

Wiley finance series.

The Wiley finance series

Language:

English

Subjects (All):

Credit derivatives.

Risk management.

Physical Description:

1 online resource (408 p.)

Edition:

2nd ed.

Place of Publication:

Chichester, West Sussex, UK : John Wiley, 2010.

Language Note:

English

System Details:

text file

Summary:

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 understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors. Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk

Contents:

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

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on metadata supplied by the publisher and other sources.

ISBN:

9786612728853

9781119208631

1119208637

9781282728851

1282728857

9780470689868

0470689862

9780470689882

0470689889

OCLC:

663740366