Understanding credit derivatives and related instruments / Antulio N. Bomfim.

Format:

Book

Author/Creator:

Bomfim, Antúlio N. (Antúlio Neves)

Series:

Academic Press advanced finance series.

Academic Press advanced finance series

Language:

English

Subjects (All):

Credit derivatives.

Physical Description:

1 online resource (354 p.)

Place of Publication:

Amsterdam : Elsevier Academic Press, c2005.

Language Note:

English

Summary:

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 developments in its various segments, such as the market for single-name credit derivatives or the market for credit derivatives written on sovereign credits. Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical

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

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [325]-330) and index.

ISBN:

9786611008116

9781281008114

1281008117

9781417577385

141757738X

9780080481487

0080481485

OCLC:

181842887