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Understanding Credit Derivatives And Related Instruments

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Understanding Credit Derivatives and Related Instruments

Understanding Credit Derivatives and Related Instruments Book
Author : Antulio N. Bomfim
Publisher : Academic Press
Release : 2015-11-23
ISBN : 0128004908
Language : En, Es, Fr & De

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Book Description :

Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more

Credit Derivatives

Credit Derivatives Book
Author : Mark J. P. Anson,Frank J. Fabozzi,Moorad Choudhry,Ren-Raw Chen
Publisher : John Wiley & Sons
Release : 2004-02-01
ISBN : 0471652385
Language : En, Es, Fr & De

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Book Description :

An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.

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

Credit Derivatives

Credit Derivatives Book
Author : Michael Stafferton
Publisher : Unknown
Release : 2004
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Presents a self-study guide to several complex instruments, their application, pricing, and market development. This workbook is designed to provide answers to fundamental questions about what credit derivatives are, who uses them, why, and also in what ways.

The Risks and Benefits of Credit Default Swaps and the Impact of a New Regulatory Environment

The Risks and Benefits of Credit Default Swaps and the Impact of a New Regulatory Environment Book
Author : Christoph Theis
Publisher : Haupt Verlag AG
Release : 2014
ISBN : 3258078858
Language : En, Es, Fr & De

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Book Description :

Since the breakout of the current financial crisis and the failures of system-relevant financial institutions such as Lehman Brothers, Bear Stearns and AIG, credit default swaps (CDSs) are being perceived as a double-edged sword and are the subject of a lively discussion in the academic community as well as in the media. In addition, a new regulatory framework is currently under way to be implemented at the European level, which will have a significant impact on CDS market participants. The controversial debates on the role of CDSs during the financial crisis along with the forthcoming regulatory changes make the CDS market an interesting and active field of research. This doctoral thesis comprises four research papers that seek to find answers to open questions regarding the application of credit risk models, the risks and benefits of CDSs and the impact of a new regulatory framework on the CDS market. First, the theoretical foundation for measuring credit risk "with a focus on the application of credit risk models" is provided (see Chapter I). I examine the two main approaches for modeling credit risk, the structural approach and the reduced-form approach and provide valuable insights into the applicability of credit risk models when pricing credit derivatives. Next, the theorized and empirically evidenced risks and benefits found in the CDS market are analyzed (see Chapter II). Subsequent to the analysis, appropriate policy recommendations are derived and discussed. The findings suggest that the identified risks of the CDS market are numerous and particularly detrimental in times of financial crises, which call for effective future policy arrangements. In the following part, I turn the focus towards new regulatory requirements in the CDS market (see Chapter III). In particular, I analyze the design of central counterparties (CCPs) and assess their impact on CDS market participants. The results suggest that CCPs face a delicate.

FINANCIAL DERIVATIVES

FINANCIAL DERIVATIVES Book
Author : S.L. GUPTA
Publisher : PHI Learning Pvt. Ltd.
Release : 2017-07-01
ISBN : 812035348X
Language : En, Es, Fr & De

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Book Description :

This highly acclaimed text, designed for postgraduate students of management, commerce, and financial studies, has been enlarged and updated in its second edition by introducing new chapters and topics with its focus on conceptual understanding based on practical examples. Each derivative product is illustrated with the help of diagrams, charts, tables and solved problems. Sufficient exercises and review questions help students to practice and test their knowledge. Since this comprehensive text includes latest developments in the field, the students pursuing CA, ICWA and CFA will also find this book of immense value, besides management and commerce students. THE NEW EDITION INCLUDES • Four new chapters on ‘Forward Rate Agreements’, ‘Pricing and Hedging of Swaps’, ‘Real Options’, and ‘Commodity Derivatives Market’ • Substantially revised chapters—‘Risk Management in Derivatives’, ‘Foreign Currency Forwards’, and ‘Credit Derivatives’ • Trading mechanism of Short-term interest rate futures and Long-term interest rate futures • Trading of foreign currency futures in India with RBI Guidelines • Currency Option Contracts in India • More solved examples and practice problems • Separate sections on ‘Swaps’ and ‘Other Financial Instruments’ • Extended Glossary

Credit Derivatives Pricing Models

Credit Derivatives Pricing Models Book
Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
Release : 2003-10-31
ISBN : 0470868171
Language : En, Es, Fr & De

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Book Description :

The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

Insider Trading

Insider Trading Book
Author : Paul U. Ali,Greg N. Gregoriou
Publisher : CRC Press
Release : 2008-08-22
ISBN : 9781420074031
Language : En, Es, Fr & De

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Book Description :

Essential Reading on an Expanding Phenomenon The recent growth in mergers and acquisitions worldwide has been accompanied by a resurgence in insider trading on a scale not witnessed since the 1980s takeovers boom. Given the greater emphasis on insider trading in the global securities markets, this text combines the latest law and finance research on this ever-intriguing area with timely, expert perspectives to comprehensively cover the established US, European, and Asia-Pacific securities markets, as well as the key emerging markets of Brazil and the greater China region. Addresses These Fundamental Questions: What are the relative costs and benefits of insider trading? What is the rationale for criminalizing insider trading? Should insider trading that causes security prices to rise be subjected to harsher criminal and civil sanctions than trading that decreases securities costs? Examines Newsworthy and Recent Case Histories This text brings together econometric analysis of insider trading with qualitative papers that focus on insider trading regulation. This combination of legal and economic perspectives makes Insider Trading: Regulation and Analysis a useful reference not only for financial academics, but also securities attorneys and managers and those involved with corporate governance. Recently, the SEC Chairman called insider trading a major risk for US financial markets – a public acknowledgement that the prosecution of insider trading is a priority for the US Securities and Exchange Commission. This speaks to the need for this publication as a guide to the wide-reaching and highly relevant area of insider trading. .

Mathematics of the Financial Markets

Mathematics of the Financial Markets Book
Author : Alain Ruttiens
Publisher : John Wiley & Sons
Release : 2013-08-05
ISBN : 1118513452
Language : En, Es, Fr & De

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Book Description :

Mathematics of the Financial Markets Financial Instruments and Derivatives Modeling, Valuation and Risk Issues "Alain Ruttiens has the ability to turn extremely complex concepts and theories into very easy to understand notions. I wish I had read his book when I started my career!" Marco Dion, Global Head of Equity Quant Strategy, J.P. Morgan "The financial industry is built on a vast collection of financial securities that can be valued and risk profiled using a set of miscellaneous mathematical models. The comprehension of these models is fundamental to the modern portfolio and risk manager in order to achieve a deep understanding of the capabilities and limitations of these methods in the approximation of the market. In his book, Alain Ruttiens exposes these models for a wide range of financial instruments by using a detailed and user friendly approach backed up with real-life data examples. The result is an excellent entry-level and reference book that will help any student and current practitioner up their mathematical modeling skills in the increasingly demanding domain of asset and risk management." Virgile Rostand, Consultant, Toronto ON "Alain Ruttiens not only presents the reader with a synthesis between mathematics and practical market dealing, but, more importantly a synthesis of his thinking and of his life." René Chopard, CEO, Centro di Studi Bancari Lugano, Vezia / Professor, Università dell'Insubria, Varese "Alain Ruttiens has written a book on quantitative finance that covers a wide range of financial instruments, examples and models. Starting from first principles, the book should be accessible to anyone who is comfortable with trading strategies, numbers and formulas." Dr Yuh-Dauh Lyuu, Professor of Finance & Professor of Computer Science & Information Engineering, National Taiwan University

Credit Derivatives Revised Edition

Credit Derivatives  Revised Edition Book
Author : George Chacko,Anders Sjöman,Hideto Motohashi,Vincent Dessain
Publisher : FT Press
Release : 2015-12-18
ISBN : 0133249190
Language : En, Es, Fr & De

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Book Description :

Every company faces credit risk. Credit derivatives are among the most powerful tools available for managing it. Once restricted to the financial industry, they are now widely used by businesses of all kinds—and all financial professionals need to understand them. Credit Derivatives, Revised Edition, explains these tools simply, clearly, and rigorously: what they do, how they work, and how to use them in today’s applications. The authors first show how credit risk can be measured and valued. They explain key ideas, such as recovery rates and credit spreads, and show how derivatives transfer credit risk to external investors. Next, they systematically demonstrate how credit risk models can describe and predict credit risk events. They cover structural models, including Merton and Black and Cox; empirical models, such as the Z-score model; and reduced-form models, such as Jarrow-Turnbull. The authors also present detailed explanations of two widely used instruments: credit default swaps (CDSs) and collateralized debt obligations (CDOs). Finally, building on what you’ve learned, the authors offer a brand-new primer on today’s applications for financial instruments with embedded credit risk. FINANCIAL STATEMENT ANALYSIS Perform preliminary financial analysis on any potential project UNDERSTAND, MEASURE, AND ASSESS CREDIT RISK Master core concepts, from credit spreads to default probabilities MASTER POWERFUL CREDIT RISK MODELING APPROACHES Learn structural, empirical, and reduced-form credit risk modeling GAIN DEEP INSIGHT INTO TODAY’S INSTRUMENTS AND APPLICATIONS Understand CDSs, CDOs, and how credit-sensitive products are now used FOR EVERY FINANCIAL PRACTITIONER: BUY-SIDE AND SELL-SIDE For CFOs, treasurers, and other practitioners—everywhere from pension funds to commercial corporations

Credit Default Swap Trading Strategies

Credit Default Swap Trading Strategies Book
Author : Wolfgang Schöpf
Publisher : diplom.de
Release : 2010-07-22
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, [...]

Credit Derivatives

Credit Derivatives Book
Author : George Chacko,Anders Sjoman,Hideto Motohashi,Vincent Dessain
Publisher : Ft Press
Release : 2015-08-31
ISBN : 9780133249187
Language : En, Es, Fr & De

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Book Description :

Now, there's a completely up-to-date guide on credit derivatives that's ideal for all working financial professionals and students entering the field.Credit Derivatives, Second Edition has been fully updated to explain today's credit risk markets clearly and simply, in language any practitioner or advanced business student can understand. The authors begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it. The authors, including leading practitioner George Chacko, have updated all content throughout to reflect today's instruments, rules, and practices.For wide audiences of finance professionals, analysts, MBA/Executive MBA students and upper-level undergraduates who need a thorough understanding of modern credit derivatives.

Derivatives and Risk Management

Derivatives and Risk Management Book
Author : Anonim
Publisher : Pearson Education India
Release : 2014
ISBN : 9788131759936
Language : En, Es, Fr & De

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Book Description :

Download Derivatives and Risk Management book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Credit Derivatives and Synthetic Structures

Credit Derivatives and Synthetic Structures Book
Author : Janet M. Tavakoli
Publisher : John Wiley & Sons
Release : 2001-07-16
ISBN : 9780471412663
Language : En, Es, Fr & De

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Book Description :

Fully revised and updated Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures. "If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book." --Merton H. Miller, winner, Nobel Prize in Economics, 1990 "Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.

Corporate Finance

Corporate Finance Book
Author : Pierre Vernimmen,Pascal Quiry
Publisher : John Wiley & Sons
Release : 2009-02-18
ISBN : 0470743794
Language : En, Es, Fr & De

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Book Description :

Download Corporate Finance book written by Pierre Vernimmen,Pascal Quiry, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Financial Derivatives

Financial Derivatives Book
Author : Robert W. Kolb,James A. Overdahl
Publisher : John Wiley & Sons
Release : 2010
ISBN : 0470499109
Language : En, Es, Fr & De

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Book Description :

Essential insights on the various aspects of financialderivatives If you want to understand derivatives without getting boggeddown by the mathematics surrounding their pricing and valuation,Financial Derivatives is the book for you. Through in-depthinsights gleaned from years of financial experience, Robert Kolband James Overdahl clearly explain what derivatives are and how youcan prudently use them within the context of your underlyingbusiness activities. Financial Derivatives introduces you to the wide range ofmarkets for financial derivatives. This invaluable guide offers abroad overview of the different types of derivatives-futures,options, swaps, and structured products-while focusing on theprinciples that determine market prices. This comprehensiveresource also provides a thorough introduction to financialderivatives and their importance to risk management in a corporatesetting. Filled with helpful tables and charts, FinancialDerivatives offers a wealth of knowledge on futures, options,swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudentlyimplement them within the context of your underlying businessactivities Provides thorough coverage of financial derivatives and theirrole in risk management Explores financial derivatives without getting bogged down bythe mathematics surrounding their pricing and valuation This informative guide will help you unlock the incrediblepotential of financial derivatives.

Indices Index Funds And ETFs

Indices  Index Funds And ETFs Book
Author : Michael I. C. Nwogugu
Publisher : Springer
Release : 2019-03-09
ISBN : 113744701X
Language : En, Es, Fr & De

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Book Description :

Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.

Risk and Contingency Management Breakthroughs in Research and Practice

Risk and Contingency Management  Breakthroughs in Research and Practice Book
Author : Management Association, Information Resources
Publisher : IGI Global
Release : 2017-12-01
ISBN : 1522539336
Language : En, Es, Fr & De

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Book Description :

In business, mistakes and errors will inevitably occur. As such, organizations must be constantly alert and ready to meet challenges head-on. Risk and Contingency Management: Breakthroughs in Research and Practice is a comprehensive reference source for the latest scholarly material on trends and techniques for the prediction and evaluation of financial risks and how to diminish their effect. Highlighting a range of pertinent topics such as project management, risk auditing and reporting, and resource management, this multi-volume book is ideally designed for researchers, academics, professionals, managers, students, and practitioners interested in risk and contingency management.

Managerial Strategies for Business Sustainability During Turbulent Times

Managerial Strategies for Business Sustainability During Turbulent Times Book
Author : Leon, Ramona-Diana
Publisher : IGI Global
Release : 2017-07-12
ISBN : 1522527176
Language : En, Es, Fr & De

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Book Description :

As the economy fluctuates, so does the need for resilient business practices. If organizations can remain strong and steady during difficult times, they will be more fruitful during successful periods as well. Managerial Strategies for Business Sustainability During Turbulent Times is a crucial resource that discusses successful methods and techniques for building sturdy company practices. Featuring pertinent topics such as sustainable supply chains, knowledge management, information sharing, and performance evaluations, this is an ideal scholarly reference source for CEOs, managers, business students, and researchers that would like to discover more unique and engaging ways to build a strong business foundation.

Creating Value Through Corporate Restructuring

Creating Value Through Corporate Restructuring Book
Author : Stuart C. Gilson
Publisher : John Wiley & Sons
Release : 2010-04-05
ISBN : 0470503521
Language : En, Es, Fr & De

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Book Description :

An updated look at how corporate restructuring really works Stuart Gilson is one of the leading corporate restructuring experts in the United States, teaching thousands of students and consulting with numerous companies. Now, in the second edition of this bestselling book, Gilson returns to present new insight into corporate restructuring. Through real-world case studies that involve some of the most prominent restructurings of the last ten years, and highlighting the increased role of hedge funds in distressed investing, you'll develop a better sense of the restructuring process and how it can truly create value. In addition to "classic" buyout and structuring case studies, this second edition includes coverage of Delphi, General Motors, the Finova Group and Warren Buffett, Kmart and Sears, Adelphia Communications, Seagate Technology, Dupont-Conoco, and even the Eurotunnel debt restructuring. Covers corporate bankruptcy reorganization, debt workouts, "vulture" investing, equity spin-offs, asset divestitures, and much more Addresses the effect of employee layoffs and corporate downsizing Examines how companies allocate value and when a corporation should "pull the trigger" From hedge funds to financial fraud to subprime busts, this second edition offers a rare look at some of the most innovative and controversial restructurings ever.