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Understanding Credit Derivatives and Related Instruments

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ISBN-10: 0121082652

ISBN-13: 9780121082659

Edition: 2005

Authors: Antulio N. Bomfim

List price: $104.00
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Description:

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.
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Book details

List price: $104.00
Copyright year: 2005
Publisher: Elsevier Science & Technology Books
Publication date: 1/20/2005
Binding: Hardcover
Pages: 368
Size: 6.25" wide x 9.25" long x 1.25" tall
Weight: 1.540
Language: English

Credit Derivatives: A Brief Overview
The Credit Derivatives Market
Main Uses of Credit Derivatives
Floating-Rate Notes
Asset Swaps
Credit Default Swaps
Total Return Swaps
Spread and Bond Options
Basket Default Swaps
Portfolio Default Swaps
Principal-Protected Structures
Credit-Linked Notes
Repackaging Vehicles
Synthetic CDOs
Valuing Defaultable Bonds
The Credit Curve
Main Credit Modeling Approaches
Valuing of Credit Options
The Basics of Portfolio Credit Risk
Valuing Basket Default Swaps
Valuing Portfolio Swaps and CDOs
A Quick Tour of Commercial Models
Modeling Counterparty Credit Risk
Anatomy of a CDS Transaction
A Primer on Bank Regulatory Issues
Basic Concepts from Bond Math
Basic Concepts from Statistics