June 12, 2021

Download Ebook Free An Introduction To Credit Derivatives

An Introduction to Credit Derivatives

An Introduction to Credit Derivatives
Author : Moorad Choudhry
Publisher : Butterworth-Heinemann
Release Date : 2012-12-31
Category : Business & Economics
Total pages :158
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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-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance. A post-crisis guide to a powerful bank risk management product, its history and its use Liberal use of Bloomberg screens and new worked examples increase hands-on practicality New online set of CDS pricing models and other worksheets multiply the book's uses

An Introduction to Credit Derivatives

An Introduction to Credit Derivatives
Author : Moorad Choudhry
Publisher : Elsevier
Release Date : 2004-06-08
Category : Business & Economics
Total pages :128
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In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and economic capital. This book is an accessible introduction to the various types of credit derivative instruments traded in the markets today. All products are described with the help of worked examples and Bloomberg screens, and the reader will be left with a thorough familiarity with the nature of credit risk and credit products generally. Topics covered include: * Credit risk * Unfunded credit derivatives * Funded credit derivatives * Credit default swap pricing * The asset-swap credit default swap basis * Accessible account of major segment of financial markets * Describes instruments and applications * Integrates credit risk with credit derivatives

Credit Derivatives and Structured Credit

Credit Derivatives and Structured Credit
Author : Richard Bruyere,Regis Copinot,Loic Fery,Christophe Jaeck,Thomas Spitz
Publisher : John Wiley & Sons
Release Date : 2006-06-14
Category : Business & Economics
Total pages :294
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Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps – the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market A clearly-written, pedagogical book with numerous illustrations Detailed review of real-case transactions A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends

Modelling Single-name and Multi-name Credit Derivatives

Modelling Single-name and Multi-name Credit Derivatives
Author : Dominic O'Kane
Publisher : John Wiley & Sons
Release Date : 2008-08-25
Category : Business & Economics
Total pages :514
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Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.

An Introduction to Credit Derivatives and Their Potential Use by Domestic Banks in Emerging Markets

An Introduction to Credit Derivatives and Their Potential Use by Domestic Banks in Emerging Markets
Author : Liliana Schumacher,George Washington University. School of Biusiness and Public Management
Publisher : Unknown
Release Date : 1997
Category : Credit
Total pages :28
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An Introduction to Credit Risk Modeling

An Introduction to Credit Risk Modeling
Author : Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publisher : CRC Press
Release Date : 2002-09-27
Category : Mathematics
Total pages :297
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In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.

Structured Products and Related Credit Derivatives

Structured Products and Related Credit Derivatives
Author : Brian P. Lancaster,Glenn M. Schultz,Frank J. Fabozzi
Publisher : John Wiley & Sons
Release Date : 2008-06-20
Category : Business & Economics
Total pages :528
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Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.

Credit Derivatives

Credit Derivatives
Author : Geoff Chaplin
Publisher : John Wiley & Sons
Release Date : 2010-04-26
Category : Business & Economics
Total pages :408
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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 Management, Second Edition, covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. It provides: a description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring; analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings; tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management; a thorough analysis of counterparty risk; an intuitive understanding of credit correlation in reality and in the Copula model. The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and new chapters on the implementation and testing of credit derivative models and systems. The book is accompanied by a CD ROM which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Credit Derivatives - An Introduction

Credit Derivatives - An Introduction
Author : Krishnaphani K
Publisher : Unknown
Release Date : 2003-12-15
Category :
Total pages :186
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Credit derivative facilitates transfer of credit risk between market participants. This book introduces aspects of credit derivatives operational, procedural, market, risk management, documentation, valuation, accounting, taxation etc. Learn about long-te

Credit Derivatives and Structured Credit Trading

Credit Derivatives and Structured Credit Trading
Author : Vinod Kothari
Publisher : John Wiley & Sons
Release Date : 2011-12-15
Category : Business & Economics
Total pages :256
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Credit derivatives as a financial tool has been growing exponentially from almost nothing more than seven years ago to approximately US$5 trillion deals completed by end of 2005. This indicates the growing importance of credit derivatives in the financial sector and how widely it is being used these days by banks globally. It is also being increasingly used as a device of synthetic securitisation. This significant market trend underscores the need for a book of such a nature. Kothari, an undisputed expert in credit derivatives, explains the subject matter using easy-to-understand terms, presents it in a logical structure, demystifies the technical jargons and blends them into a cohesive whole. This revised book will also include the following: - New credit derivative definitions - New features of the synthetic CDO market - Case studies of leading transactions of synethetic securitisations - Basle II rules - The Consultative Paper 3 has significantly revised the rules, particularly on synthetic CDOs - Additional inputs on legal issues - New clarifications on accounting for credit derivatives/credit linked notes

Credit Default Swap Trading Strategies

Credit Default Swap Trading Strategies
Author : Wolfgang Schöpf
Publisher : diplom.de
Release Date : 2010-07-22
Category : Business & Economics
Total pages :82
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Inhaltsangabe:Introduction: Credit default swaps are by far the most often traded credit derivatives and the credit default swap markets have seen tremendous growth over the past two decades. Put simply, a credit default swap is a tradeable contract that provides insurance against the default of a certain debtor. Initially, when the first form of a credit default swap (CDS) was traded in 1991, they were mainly used by commercial banks in order to lay off credit risk to insurance companies. However, focus shifted in the subsequent years as new players entered the market. Hedge funds became big players, money managers and reinsurers entered, and banks started to not only buy protection on their assets but also sell protection in order to diversify their portfolios. All this led to today s CDS market being dominated by investors rather than banks and, as a consequence, CDSs are now structured to meet investors needs instead of those of the banks. Over the same time as this shift to an investor orientated market took place, CDS markets grew at an astonishing rate with notional amount outstanding pretty much doubling every year until peaking in the second half of 2007 at USD 62,173.20 billions. The need to effciently transfer credit risk as well as the increasing standardization of CDS contracts by the International Swaps and Derivatives Association propelled this development. Only in 2008 did the notional amount outstanding in CDSs retract for the first time and come down to USD 31,223.10 billion in the first half of 2009. A partial reason was the full blown financial crisis in which CDSs also played a prominent role. The demise of Lehman Brothers, for example, triggered roughly USD 400 billion in protection payments and American International Group needed to be bailed out in 2008 because it had sold too much CDS protection. Amongst other concerns, these incidents highlight the systemic importance of CDSs. Combined with the phenomenal growth of CDS markets, this makes CDSs a highly relevant component of the current ?nancial environment and a fruitful subject for academic research. Today, just like most other financial instruments, CDSs serve a multitude of purposes spanning hedging, speculation, and arbitrage. The aim of this thesis is to explore these uses further and answer the following research questions: What CDS trading strategies are commonly used and how does a selection of these strategies CDS curve trades including forward CDSs, [...]

Understanding Credit Derivatives and Related Instruments

Understanding Credit Derivatives and Related Instruments
Author : Antúlio Neves Bomfim
Publisher : Academic Press
Release Date : 2005
Category : Business & Economics
Total pages :339
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Comprehensive introduction to the main isues in the credit derivatives market, including an accessible introduction to valuation methods.

Credit Derivatives and Credit Rating

Credit Derivatives and Credit Rating
Author : Mario Di Carlo
Publisher : LAP Lambert Academic Publishing
Release Date : 2013
Category :
Total pages :180
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The latest financial crisis highlighted several problems with credit derivatives and raised questions about the effectiveness of Credit Rating Agencies' (CRAs) assessment of risks in rating complex financial products such as Collateralized Debt Obligation (CDO). Credit derivatives provided a powerful new tool for managing credit risk that had the potential to facilitate risk-sharing, enhance the efficiency of risk management and promote market completeness. Measuring the exposure taken on a credit derivative contract can be very difficult. As a result market participants have rely on credit ratings as a source of information to assess the risk of their derivative transactions. During the latest crisis the role of the major credit rating agencies have come under increased scrutiny. This work, after the introduction of credit risk, provides an overview of credit derivatives instruments and explain the central role that rating and credit rating agencies play in the financial markets. Moreover, it highlights the criticism of credit rating agencies in rating structured finance products and provide an in-depth view of the CDO rating methodologies.

Applications of Credit Derivatives

Applications of Credit Derivatives
Author : Harald Seemann
Publisher : diplom.de
Release Date : 2008-01-24
Category : Business & Economics
Total pages :98
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Inhaltsangabe:Abstract: The purpose of this thesis is to give a general introduction to the credit derivatives market and its instruments. The analytical focus will be about the business fields where credit derivatives are applied. This work aims to analyze the usage of credit derivatives in economic life and describes the different financial players who are involved in those deals. Explanations for certain decisions and credit views are presented. The reader should get a better understanding of these complex financial structures and their importance for businesses, banks and the overall global financial system. The pricing of such pooled financial structures is not as simple as the pricing of a stock or a bond; therefore selected pricing models are presented with the intention to show all the different factors which determine credit spreads and finally the price of a credit derivative. The thesis concludes with an evaluation of this young, but highly dynamic market, including the role and responsibility of regulators. Opportunities and threats are outlined, so that the reader is able to draw an opinion about these modern financial instruments. This study begins with a general introduction to the credit derivatives market and gives arguments for the growth catalysts which have driven the development to the current state. The financial participants in this market are presented as well. A comparison between market risk and credit risk follows to show the clear transition that helped credit risk to become an asset class. After that, a link to the recent Basel II guidelines is established in order to show the policies that banks have to consider when trading with credit risk. Chapter 2 deals with the historical evolution of credit derivatives and classifies different structures. A presentation of the main types of credit derivatives and their contract elements follow; these are mainly credit default swaps (CDS) and collaterized debt obligations (CDO). Chapter 2 also deals with definitions of a credit event and the calculation of risk premiums. Forms of default payment illustrate the possible settlement of a credit derivative contract. Afterwards, an account of the International Swaps and Derivatives Association (ISDA) is presented. This association serves as a supplier of standardized documentation to all market participants and facilitates transactions. Chapter 3 is the key element of this thesis and shows the applications of credit derivatives: [...]

A General Introduction Into Modelling Default Risk and Credit Derivatives

A General Introduction Into Modelling Default Risk and Credit Derivatives
Author : Mark Teijgeler
Publisher : Unknown
Release Date : 1997
Category :
Total pages :108
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