Credit Derivatives and Structured Credit: A Guide for InvestorsJohn Wiley & Sons, 14 jun 2006 - 294 páginas 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:
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Índice
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2 Typology of Credit Derivatives and their Main Applications | 35 |
3 SecondGeneration Credit Derivatives | 81 |
4 Collateralized Debt Obligations | 105 |
5 The Credit Derivatives and Structured Credit Products Market | 149 |
6 Pricing Models for Credit Derivatives | 175 |
7 The Impact of the Development in Credit Derivatives | 199 |
Conclusion | 251 |
References | 255 |
Further Reading | 259 |
Index | 263 |
Otras ediciones - Ver todo
Credit Derivatives and Structured Credit: A Guide for Investors Richard Bruyere Vista de fragmentos - 2006 |
Credit Derivatives and Structured Credit: A Guide for Investors Richard Bruyere,Regis Copinot,Loic Fery,Christophe Jaeck,Thomas Spitz No hay ninguna vista previa disponible - 2006 |
Términos y frases comunes
activities arbitrage balance sheet bank loans bank’s banking institutions Basel Basel II basis points basket Black–Scholes BNP Paribas borrower capital adequacy capital markets cash CDO market CDS premium CDSs collateral contract copula corporate counterparty risk coupon credit derivatives market credit event credit markets credit portfolio credit risk credit spread creditworthiness debt default correlation default probabilities default risk default swap Deutsche Bank economic capital enable equity tranche Euribor exposure Figure financial institutions Fitch Ratings hedge funds instruments interest rate investment banks issued issuers iTraxx JP Morgan leverage liquidity loss market players maturity Moody’s Morgan Stanley notional amount obligations option portfolio management position pricing protection buyer protection seller put option rating agencies recovery rate reference entity reference portfolio regulatory capital risk management securities securitization senior tranches sponsor bank strategy subordinated swaption synthetic CDO total return swaps trading tranche transaction underlying asset volatility