An introduction to credit derivatives / Moorad Choudhry ; [foreword by Juan Blasco].

Format:

Book

Author/Creator:

Choudhry, Moorad.

Language:

English

Subjects (All):

Credit derivatives.

Physical Description:

1 online resource (173 p.)

Edition:

2nd ed.

Place of Publication:

Oxford : Butterworth-Heinemann, 2013.

Language Note:

English

System Details:

text file

Summary:

The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision. Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-link

Contents:

Front Cover; An Introduction to Credit Derivatives; Copyright Page; Dedication; Contents; About the Author; Foreword; Preface; Preface to the First Edition; 1 Credit Risk; 1.1 The Concept of Synthetic Investment; Cash Investment; Synthetic Investment; Real-World Application; Cash Investment; Synthetic Investment; 1.2 Banks and Credit Risk Transfer; 1.3 Credit Risk and Credit Ratings; 1.3.1 Credit Risk; Credit Default Risk; Credit Spread Risk; 1.3.2 Credit Ratings; 1.3.3 Understanding Credit Ratings; Purpose of Credit Ratings; Formal Credit Ratings; 1.4 Corporate Recovery Rates

1.4.1 Recovery Rates1.4.2 Observation From Before 2008 Crash; 2 Credit Derivative Instruments; 2.1 Credit Risk and Credit Derivatives; 2.1.1 Credit Events; 2.2 Credit Derivative Instruments; 2.2.1 Introduction; 2.2.2 Funded and Unfunded Contracts; 2.3 Credit Default Swaps; 2.3.1 Structure; 2.3.2 Basket Default Swaps; 2.3.3 Unwinding a CDS Position; 2.4 Asset swaps; 2.4.1 Description; 2.4.2 Illustration Using Bloomberg; 2.5 Total Return Swaps; 2.6 Index CDS: The iTraxx Index; 2.7 Settlement; 2.7.1 Contract Settlement Options; 2.7.2 Market Requirements; 2.7.3 Cash Settlement Mechanics

2.8 Risks in Credit Default Swaps2.8.1 Unintended Risks in Credit Default Swaps; 2.8.2 Extending Loan Maturity; 2.8.3 Risks of Synthetic Positions and Cash Positions Compared; 2.9 Impact of the 2007-2008 Financial Crash: New CDS Contracts and the CDS 'Big Bang'; 2.9.1 The CDS 'Big Bang'; 2.9.2 CDS and Points Upfront; 2.9.3 Contract Changes; References; Appendices; 3 Credit Derivative Instruments; 3.1 Credit-Linked Notes; 3.1.1 Description of CLNs; 3.1.2 Illustrations; 3.2 CLNs and Structured Products; 3.2.1 Simple Structure; 3.2.2 The First-To-Default Credit-Linked Note; References

4 Credit Derivatives: Basic Applications4.1 Managing Credit Risk; 4.2 Credit Derivatives and Relative Value Trading; 4.2.1 Credit Selection; 4.2.2 Credit Pair Trade; 4.2.3 Basket Credit Structure Trade; 4.3 Bond Valuation from CDS Prices: Bloomberg Screen VCDS; 4.4 Relative Value Trading: Sovereign Names; 4.4.1 Rationale; 4.4.2 Example Trade Cash Flows: June 2009; 4.5 Applications of Total Return Swaps; 4.5.1 Capital Structure Arbitrage; 4.5.2 Synthetic Repo; 4.5.3 The TRS as Off-Balance-Sheet Funding Tool; 4.6 Applications for Portfolio Managers; 4.6.1 Enhancing Portfolio Returns

4.6.2 Reducing Credit Exposure4.6.3 Credit Switches and Zero-Cost Credit Exposure; 4.6.4 Exposure to Market Sectors; 4.6.5 Credit Spreads; Reference; 5 Credit Derivatives Pricing and Valuation; 5.1 Introduction; 5.2 Pricing Models; 5.2.1 Structural Models; 5.2.2 Reduced Form Models; Jarrow, Lando and Turnbull (JLT) Model; Das-Tufano Model; Duffie-Singleton Approach; Recovery Rates; 5.3 Credit Spread Modelling; 5.4 Product Pricing Approach; 5.4.1 The Forward Credit Spread; 5.4.2 Asset Swaps Pricing; 5.4.3 Total Return Swap (TRS) Pricing; 5.5 Credit Curves; References

6 Credit Default Swap Pricing

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9781283868440

128386844X

9780080982984

0080982980

OCLC:

823388757