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An Introduction To Credit Derivatives

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An Introduction to Credit Derivatives

An Introduction to Credit Derivatives Book
Author : Moorad Choudhry
Publisher : Unknown
Release : 2004
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

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.

An Introduction to Credit Derivatives

An Introduction to Credit Derivatives Book
Author : Moorad Choudhry
Publisher : Butterworth-Heinemann
Release : 2012-12-31
ISBN : 0080982980
Language : En, Es, Fr & De

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Book Description :

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 Credit Derivatives

An Introduction Credit Derivatives Book
Author : Gunter Dufey and Florian Rehm
Publisher : Unknown
Release : 2000
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download An Introduction Credit Derivatives book written by Gunter Dufey and Florian Rehm, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Applications of Credit Derivatives

Applications of Credit Derivatives Book
Author : Harald Seemann
Publisher : diplom.de
Release : 2008-01-24
ISBN : 3836608421
Language : En, Es, Fr & De

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Book Description :

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: [...]

Credit Derivatives and Structured Credit Trading

Credit Derivatives and Structured Credit Trading Book
Author : Vinod Kothari
Publisher : John Wiley & Sons
Release : 2011-12-15
ISBN : 1118178785
Language : En, Es, Fr & De

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Book Description :

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

An Introduction to Credit Derivatives

An Introduction to Credit Derivatives Book
Author : Gunter Dufey
Publisher : Unknown
Release : 2003
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This paper provides the reader with introductory information about credit derivatives. It explains the most widely used products in a simple way, gives a broad overview over the applications of credit derivatives and provides estimates of the global market size.

Credit Derivatives An Introduction

Credit Derivatives   An Introduction Book
Author : Krishnaphani K
Publisher : Unknown
Release : 2003-12-15
ISBN : 9788178812106
Language : En, Es, Fr & De

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Book Description :

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 Default Swap Trading Strategies

Credit Default Swap Trading Strategies Book
Author : Wolfgang Schöpf
Publisher : diplom.de
Release : 2010-07-23
ISBN : 383664973X
Language : En, Es, Fr & De

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Book Description :

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, [...]

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 Book
Author : Liliana Schumacher,George Washington University. School of Biusiness and Public Management
Publisher : Unknown
Release : 1997
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download An Introduction to Credit Derivatives and Their Potential Use by Domestic Banks in Emerging Markets book written by Liliana Schumacher,George Washington University. School of Biusiness and Public Management, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Modelling Single name and Multi name Credit Derivatives

Modelling Single name and Multi name Credit Derivatives Book
Author : Dominic O'Kane
Publisher : John Wiley & Sons
Release : 2011-03-08
ISBN : 9781119995449
Language : En, Es, Fr & De

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Book Description :

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.

The Art of Credit Derivatives

The Art of Credit Derivatives Book
Author : Joao Garcia,Serge Goossens
Publisher : John Wiley & Sons
Release : 2010-02-16
ISBN : 9780470684962
Language : En, Es, Fr & De

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Book Description :

Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater. The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the authors show why a mind-shift within the quant community is needed - a move from simple modeling to a more hands on mindset where the modeler understands the trading implicitly. The book has been written in five parts, covering the modeling framework; single name corporate credit derivatives; multi name corporate credit derivatives; asset backed securities and dynamic credit portfolio management. Coverage includes: groundbreaking solutions to the inherent risks associated with investing in securitization instruments how to use the standardized credit indices as the most appropriate instruments in price discovery processes and why these indices are the essential tools for short term credit portfolio management why the dynamics of systemic correlation and the standardised credit indices are linked with leverage, and consequently the implications for liquidity and solvability of financial institutions how Lévy processes and long term memory processes are related to the understanding of economic activity why regulatory capital should be portfolio dependant and how to use stress tests and scenario analysis to model this how to put structured products in a mark-to market-environment, increasing transparency for accounting and compliance. This book will be invaluable reading for Credit Analysts, Quantitative Analysts, Credit Portfolio Managers, Academics and anyone interested in these complex yet important markets.

Credit Derivatives and Structured Credit

Credit Derivatives and Structured Credit Book
Author : Richard Bruyere,Richard Bruyère,Rama Cont,Regis Copinot,Loic Fery,Christophe Jaeck,Thomas Spitz
Publisher : John Wiley & Sons Incorporated
Release : 2006
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This book builds on the strength of the first edition published in 1998 (pedagogical approach, comprehensive view on market developments, analysis of real transactions, impact of credit derivatives for banks and financial regulation) and presents up-to-date information and analysis on the latest developments in the market. New topics include:ul>li>updated analysis of credit risk, including analysis of the recent wave of default second generation structured products (first-to-default, index-linked credit derivates latest developments in the collateralized debt obligations market (arbitrage-driven structures, including CDOs of CDOs updated overview of pricing models (structural and intensity-based models, default correlation div>credit derivatives and financial regulation (Basel II, instability of financial markets).This book builds on the strength of the first edition published in 1998 (pedagogical approach, comprehensive view on market developments, analysis of real transactions, impact of credit derivatives for banks and financial regulation) and presents up-to-date information and analysis on the latest developments in the market. New topics include: li>updated analysis of credit risk, including analysis of the recent wave of default second generation structured products (first-to-default, index-linked credit derivates latest developments in the collateralized debt obligations market (arbitrage-driven structures, including CDOs of CDOs updated overview of pricing models (structural and intensity-based models, default correlation div>credit derivatives and financial regulation (Basel II, instability of financial markets)./ul>a name="TIS_DEFINITION_OF_TOPIC">/ul>

Credit Derivatives and Credit Rating

Credit Derivatives and Credit Rating Book
Author : Mario Di Carlo
Publisher : LAP Lambert Academic Publishing
Release : 2013
ISBN : 9783659458439
Language : En, Es, Fr & De

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Book Description :

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.

Understanding Credit Derivatives and Related Instruments

Understanding Credit Derivatives and Related Instruments Book
Author : Antúlio Neves Bomfim
Publisher : Academic Press
Release : 2005
ISBN : 0121082652
Language : En, Es, Fr & De

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Book Description :

Comprehensive introduction to the main isues in the credit derivatives market, including an accessible introduction to valuation methods.

An Introduction to Credit Risk Modeling

An Introduction to Credit Risk Modeling Book
Author : Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publisher : CRC Press
Release : 2002-09-27
ISBN : 9781420057362
Language : En, Es, Fr & De

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Book Description :

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.

The Use of Derivatives in Tax Planning

The Use of Derivatives in Tax Planning Book
Author : Frank J. Fabozzi, CFA
Publisher : John Wiley & Sons
Release : 1998-06-20
ISBN : 9781883249557
Language : En, Es, Fr & De

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Book Description :

The Use of Derivatives in Tax Planning provides insightful and in-depth coverage of timely issues including: tax treatments of notional principal contracts, taxation of credit derivatives, derivative tax planning applications for fixed-income instruments, using derivatives to shift income, enhancing after-tax returns, working with the straddle rules of tax code sections 1092 and 263(g), derivatives in the charitable world, using OTC equity derivatives for high-net-worth individuals, corporate applications of derivatives, synthetic exchangeables and convertibles, and structures and selected tax issues.

Mastering Credit Derivatives

Mastering Credit Derivatives Book
Author : Andrew Kasapis
Publisher : Pearson Education
Release : 2008
ISBN : 9780273714859
Language : En, Es, Fr & De

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Book Description :

The up-to-date, comprehensive, easy-to-understand guide to credit derivatives: practical information for professionals. bull; Thoroughly revised, with entirely new sections on structured credit derivatives, Greeks, and tranche sensitivity. bull; Includes crucial new insights into how the subprime mortgage crisis has affected the creation and sale of credit derivatives. bull; Designed to help financial professionals succeed with derivatives, regardless of their responsibilities or current market conditions.

An Introduction to Bond Markets

An Introduction to Bond Markets Book
Author : Moorad Choudhry
Publisher : John Wiley & Sons
Release : 2010-10-12
ISBN : 0470976284
Language : En, Es, Fr & De

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Book Description :

The bond markets are a vital part of the world economy. The fourth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Bond Markets brings readers up to date with latest developments and market practice, including the impact of the financial crisis and issues of relevance for investors. This book offers a detailed yet accessible look at bond instruments, and is aimed specifically at newcomers to the market or those unfamiliar with modern fixed income products. The author capitalises on his wealth of experience in the fixed income markets to present this concise yet in-depth coverage of bonds and associated derivatives. Topics covered include: Bond pricing and yield Duration and convexity Eurobonds and convertible bonds Structured finance securities Interest-rate derivatives Credit derivatives Relative value trading Related topics such as the money markets and principles of risk management are also introduced as necessary background for students and practitioners. The book is essential reading for all those who require an introduction to the financial markets.

Introduction of Credit Derivatives to Chinese Banks Loan Management

Introduction of Credit Derivatives to Chinese Banks  Loan Management Book
Author : Yue Wang
Publisher : Unknown
Release : 2004
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Introduction of Credit Derivatives to Chinese Banks Loan Management book written by Yue Wang, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

The Structured Credit Handbook

The Structured Credit Handbook Book
Author : Arvind Rajan,Glen McDermott,Ratul Roy
Publisher : John Wiley & Sons
Release : 2007-02-09
ISBN : 0471747491
Language : En, Es, Fr & De

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Book Description :

The most up-to-date look at structured credit product The Structured Credit Handbook is a comprehensive introduction to all types of credit-linked financial instruments. This book provides state-of-the-art primers on single tranche collateralized debt obligations (CDOs), collateralized loan obligations (CLOs), credit derivatives (such as credit default swaps and swaptions), and iBoxx indexes. Filled with in-depth insight and expert advice, The Structured Credit Handbook covers all aspects of the synthetic arbitrage CDO market, including new instruments such as CDO2. Readers will also gain a firm understanding of the investment rationale, risks, and rewards associated with CDO investments through this valuable resource Arvind Rajan, PhD (New York, NY), is Managing Director and Cohead of U.S. Fixed Income Strategy at Citigroup Global Markets Inc., where he oversees the strategy efforts covering all aspects of fixed income. Glen McDermott (New York, NY) is Director of Fixed Income Sales and the former head of CDO Research at Citigroup Global Markets Inc