Implementing credit derivatives: [strategies and techniques for using credit derivatives in risk management]
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
McGraw-Hill
1999
|
| Schriftenreihe: | Irwin library of investment and finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 313 S. graph. Darst. |
| ISBN: | 0070472378 |
Internformat
MARC
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| 245 | 1 | 0 | |a Implementing credit derivatives |b [strategies and techniques for using credit derivatives in risk management] |c Israel "Izzy" Nelken |
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 1999 | |
| 300 | |a XVIII, 313 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface xvii
CHAPTER 1
Introduction 1
Credit Derivatives 1
Relationship Issues 2
The Credit Paradox 3
The One Sided Nature of the Market 4
The Basic Structure 5
The Search for Yield 5
Risk Measurement 6
Globalization and Democratization 7
The Potential Market for Credit Derivatives 8
Market Size 9
Growing Pains 10
The Players 11
Rationale of the Market 11
Buyer and Seller 12
A Bit of History 14
CHAPTER 2
The Structures 15
Typical Credit Swap 15
The Premium 16
Correlation 18
The Contingent Leg 20
Recovery Value 22
Secrecy Issues 21
Legal Test and Market Test 22
Moral Hazard 23
Hedging 23
mi
viii CONTENTS
Downgrade Options 26
Credit Intermediation Swaps 26
Default Substitution Swaps 28
Total Return Swap 29
Credit Risk in a TROR 31
Maturity 33
Exposure to a Credit Desired 34
Credit Spread Options 34
An Example of a Credit Spread Put 36
Credit Spread Forwards 38
Volatility 40
Standardization 41
Special Requests 42
Use of Total Return Swaps by Corporation 42
Credit Linked Notes 43
The Investor in a CLN 47
The J.P. Morgan—Wal Mart CLNs 48
Sovereign 49
Convertibility Risk Products 50
An Example of a Trade 51
Summary of Products 52
CHAPTER 3
Legal and Regulatory Aspects (by Claude Brown of
Clifford Chance) 53
Types of Credit Derivative Instruments 54
Credit Spread Products 55
Total Rate of Return Swaps 55
Convertibility Products 59
Credit Default Products 59
Payout Profile 61
Credit Event upon Merger 63
Cross Acceleration and Cross Default 63
Downgrade 65
Failure to Pay 66
Restructuring 67
CONTENTS ix
Repudation 67
Publicly Available Information (PAI) 68
Notices 69
Materiality 71
Settlement Terms 72
Physical Settlment 73
Cash Settlement 74
Summary 78
Regulatory Capital Treatment of Credit Derivatives 78
The United Kingdom 80
The FSA s Chapter CD 81
FSA Banking Book Treatment for Credit Derivatives 83
Funded or Unfunded 84
Payout Structure 85
Asset Mismatch 86
Currency Mismatch 87
Maturity Mismatch 87
Basket Products 88
FSA Trading Book Treatment 89
General Market Risk 90
Specific Risk 91
Counterparty Risk 93
Risk Transfer Requirements 94
Regulatory Capital Treatment of Credit Derivatives in Germany 95
BAKred and the Banking Book 95
Regulatory Capital Treatment of Crdite Derivatives in France 96
Summary 98
Conclusion 99
CHAPTER 4
Analysis of Credit Spreads 101
An Example of a Spread Curve 102
Computation of the Forward Spread 102
Estimation of Volatility 204
Probability of Default, Recovery, Value, and Credit Spreads 2 05
c CONTENTS
CHAPTERS
Revenue Neutral Diversification 109
Credit Risk Measurement 209
Background 110
The Trade 211
Equivalent Position 113
CHAPTER 6
Examination of Term Sheets 115
Put Credit Spread 125
Digital Spread Options 118
Asset Swap Put Credit Spread 119
Zero Premium Collars 122
Combining Credit and Foreign Exchange 126
Very Structured Products 129
Binary Bonds 129
Basket Credit Linked Notes 134
Total Return Swaps 139
More Structures Using Credit Derivatives 141
Credit Default Swap Trade 141
Credit Exposure Default Swap 158
One Year Default Swap 160
Asset Swap Put 164
Summary 166
CHAPTER 7
Credit Derivatives and the Repo Markets 167
Classic Repo 167
Repo vs. a Total Return (TR) Swap 169
Similarities 171
Balance Sheet Considerations 172
Selling Credit Risk 172
What is a Credit Derivative? 173
Summary 173
CONTENTS xi
CHAPTER 8
Collateralized Bond Obligations 175
Introduction 175
CBO and MBS 275
Junk Debt 177
Some History 178
Difficulties 179
CBOs as Complementary Vehicles to Credit Derivatives 279
Financial Engineering 180
Market Size 180
Fees 252
The Junior Tranche 181
Size of the Junior Tranche 183
The Sweetener 285
A Sample CBO Deal 185
Credit Rating Agencies 187
Summary 187
CHAPTER 9
Locating the CD Function within a Bank 189
Introduction 189
Requirements 189
Summary 292
CHAPTER 10
Credit Risk Management in Asia 193
Introduction 293
Dearth of Data 293
Lower Credit Quality 294
Loose Disclosure Requirements 294
Recovery Rates 295
Courts 295
Default Models 295
Illiquidity 296
xii CONTENTS
Bankers Trust 197
Government Intervention 197
Collateralization 197
Speculation 298
Staff 198
How to Deal with These Issues 199
Credit Derivatives 199
Credit Mediation 200
Asia after the Catastrophe 200
Credit Neutral Strategies 202
Credit Derivatives Help the Asian Markets—In Theory 203
Summary 203
CHATTER 11
CreditMetrics 205
Introduction 205
CreditMetrics 205
Credit Risk vs. Market Risk 207
Skewed Distribution 208
Acceptance 208
The Methodolgy 209
Credit Risk of a Swap 210
Probability of Default, Downgrade, or Upgrade 221
The Value of a Bond 212
A Portfolio 214
Markov Chains 215
Credit Risk or Market Risk? 226
Probability of Default 216
What If Questions 217
Risk Limits 218
Historical Data 228
Traditional Credit Allocation 229
Advantages of Portfolio Approach 219
Architechture of the System 220
Recovery Values 221
Correlation 222
Summary 223
CONTENTS xiii
CHAPTER 12
CreditRisk+ 225
What Are the Risks in Designing the Model? 225
Credit Risk in Loans 226
Default Rate 226
Time Horizon 227
Output of the Model 227
Current Management Practices 227
Model Inputs 228
Default Rates and Correlation 229
Default Events and Default Losses 232
Sector Analysis 233
Use of the Model 233
Economic Capital 234
Credit Provisions 235
Summary 237
CHAPTER 13
Credit Derivatives and Bank Loans 239
Introduction 239
The Role of Credit Derivatives in the Loan Book 239
Improving Returns 240
Using Credit Derivatives for Risk Management 242
Volatility of Defaults in a Loan Book 242
Big Exposures to Single Names 243
Risk Capital 245
Originators of Loans 246
Holder of Loans 247
The Attraction of Loans 248
Opening the Loan Market to Nontraditional Investors 249
Economic Capital Example 1 249
Economic Capital Example 2 252
Regulatory Capital Example 1 252
Regulatory Capital Example 2 253
An Internal Conflict 255
Joint Default 256
xiv CONTENTS
The Credit Paradox 257
Addressing Credit Line Constraints 258
Swap Guarantees 259
Relative Value 260
Increasing Off Balance Sheet Credit Risk 260
Cultural Changes within a Bank 262
CHAPTER 14
Creation and Analysis of Structured Credit
Derivatives 265
Analysis of a Note 265
The Creation Process of a Note 267
Conceptual Stage 267
Identification Stage 269
Structuring Stage 273
CHAPTER 15
The Valuation of Credit Derivatives 275
Introduction 275
Equity Value Models 275
Spread Based Models 276
Ratings Based Models 277
The Academic Question 278
Evidence from the Market 278
CHAPTER 16
Analysis and Pricing 281
Binary Structure 282
Analysis 282
Motivation 287
Hedging 288
A Credit Default Swap 289
Notation and Assumptions 289
CONTENTS xv
Analysis 289
Moral Hazard 293
CBO Creation 294
Analysis 295
Comparison 298
Commission 298
A Structured Note 298
Analysis 299
Chances of Spread Increase 301
The Longstaff and Schwartz Model 302
Surprising Results 304
Back to Our Problem 305
Summary 305
Glossary 307
Index 309
|
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| id | DE-604.BV012772355 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:33:23Z |
| institution | BVB |
| isbn | 0070472378 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008685305 |
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| publishDate | 1999 |
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| publisher | McGraw-Hill |
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| series2 | Irwin library of investment and finance |
| spelling | Nelken, Israel Verfasser aut Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] Israel "Izzy" Nelken New York [u.a.] McGraw-Hill 1999 XVIII, 313 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Irwin library of investment and finance Derivative securities blmsh Risk management blmsh Risikomanagement (DE-588)4121590-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Kreditrisiko (DE-588)4114309-7 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008685305&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nelken, Israel Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] Derivative securities blmsh Risk management blmsh Risikomanagement (DE-588)4121590-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4381572-8 (DE-588)4114309-7 |
| title | Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] |
| title_auth | Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] |
| title_exact_search | Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] |
| title_full | Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] Israel "Izzy" Nelken |
| title_fullStr | Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] Israel "Izzy" Nelken |
| title_full_unstemmed | Implementing credit derivatives [strategies and techniques for using credit derivatives in risk management] Israel "Izzy" Nelken |
| title_short | Implementing credit derivatives |
| title_sort | implementing credit derivatives strategies and techniques for using credit derivatives in risk management |
| title_sub | [strategies and techniques for using credit derivatives in risk management] |
| topic | Derivative securities blmsh Risk management blmsh Risikomanagement (DE-588)4121590-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Derivative securities Risk management Risikomanagement Derivat Wertpapier Kreditrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008685305&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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