Understanding Credit Derivatives and Related Instruments

Antulio Bomfim

Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models. It offers a broad overview of this growing field. It discusses all the main types of credit derivatives. It provides back-of-the-book summary of statistics and fixed-income mathematics.
  • Limba : Engleza
  • Cuprins : 1 Credit Derivatives: A Brief Overview 2 The Credit Derivatives Market 3 Main Uses of Credit Derivatives 4 Floating-Rate Notes 5 Asset Swaps 6 Credit Default Swaps 7 Total Return Swaps 8 Spread and Bond Options 9 Basket Default Swaps 10 Portfolio Default Swaps 11 Principal-Protected Structures 12 Credit-Linked Notes 13 Repackaging Vehicles 14 Synthetic CDOs 15 Valuing Defaultable Bonds 16 The Credit Curve 17 Main Credit Modeling Approaches 18 Valuing of Credit Options 19 The Basics of Portfolio Credit Risk 20 Valuing Basket Default Swaps 21 Valuing Portfolio Swaps and CDOs 22 A Quick Tour of Commercial Models 23 Modeling Counterparty Credit Risk 24 Anatomy of a CDS Transaction 25 A Primer on Bank Regulatory Issues Appendix A Basic Concepts from Bond Math Appendix B Basic Concepts from Statistics
  • Data Publicarii : 31 Jan 2003
  • Format : Hardback
  • Numar pagini : 368
  • ISBN : 9780121082659
356.99 Lei
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