Handbook of credit derivatives:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
McGraw-Hill
1999
|
| Schriftenreihe: | Irwin library of investment and finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXIII, 392 S. graph. Darst. |
| ISBN: | 0070225885 |
Internformat
MARC
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| 245 | 1 | 0 | |a Handbook of credit derivatives |c ed. by Jack Clark Francis ... |
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 1999 | |
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| 336 | |b txt |2 rdacontent | ||
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Datensatz im Suchindex
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|---|---|
| adam_text | CONTENTS Contributors xv
PART ONE INTRODUCTION
Chapter 1
An Introduction to Credit Derivatives 3
Robert S. Neal, Ph.D., Professor, Kelly School of Business,
Indiana University
Douglas S. Rolph, Ph.D. Candidate, Finance Department of the Graduate
School of Business, University of Washington
Credit Risk 4
Managing Risk with Credit Derivatives 10
Credit Derivatives: Risks and Regulatory Issues 16
Conclusion 19
PART TWO
INVESTMENT AND RISK MANAGEMENT APPLICATIONS
Chapter 2 Building Efficient Synthetic Positions and Using
Credit Linked Notes 27
J. Gregg Whittaker, Ph.D., Managing Director, Chase Securities, Inc.
Evy Adamidou, Ph.D., Vice President, Chase Securities, Inc.
Introduction 27
The Basic Structures 28
Investment Applications 32
Future Market Development 40
Conclusion 41
Chapter 3 Credit Derivatives and Loan Portfolio Management 43
Blythe Masters, Managing Director, J.P. Morgan Securities
Kelly Bryson, Credit Derivatives Marketer, J. P. Morgan Securities
vii
viii CONTENTS
Introduction: Credit Derivatives in the Context of a Changing
Banking Industry 43
Key Characteristics of Credit Derivatives 45
Credit Derivative Structures 47
A Portfolio Approach to Credit Risk Management 56
Regulatory Treatment of Credit Derivatives 71
Balance Sheet Management: Traditional and Synthetic Securitizations
Using Credit Derivatives 76
Conclusion 80
Chapter 4
Credit Risk Management from a Corporate Perspective 87
Joyce A. Frost, Head of Marketing, Global Credit Derivatives, Chase
Securities, Inc.
Identifying and Managing Credit Risk 87
Credit Derivatives as a Hedging Tool 90
Liability Management 96
Conclusion 98
PART THREE DETERMINING EXPOSURE AND PRICING CREDIT
DERIVATIVES
Chapter 5 ^__
Pricing Credit Derivatives 101
Sanjiv R. Dais, Ph.D., Professor, Harvard Business School
Abstract 101
Introduction 101
Standard Credit Derivative Contracts 103
Technical Approaches to Pricing Credit Derivatives 105
Detailed Modeling of the Spread 114
The Jarrow Lando Turnbull (JLT) Model 116
The Das Tufano (DT) Model 122
The Duffie Singleton Analysis 133
Conclusions and Other Important Issues for Credit Risk Models 135
CONTENTS ix
Chapter 6
Credit Derivatives Pricing Dictionary 139
Hardy M. Hodges, Ph.D., Vice President, Global Credit Derivatives,
Chase Securities, Inc.
Asset Swap Pricing 140
Credit Rating Options 140
Credit Spread 140
Credit Spread Lock 141
Credit Spread Options 141
Default Correlations 143
Default Distribution 144
Default Put Option 144
Default Swap 145
Digital Default Swap 146
Expected Loss/Gain 146
First To Default Notes 147
Forward Credit Spread 150
Forward Default Probability 150
KMV 151
Loss in the Event of Default (LIED) 151
Pricing Models 152
Risk Neutral Pricing 153
Survival Probability 154
Total Return Swap 154
Chapter 7
Using Equity Price Information to Measure Default Risk 157
Peter J. Crosbie, Ph.D., Managing Director, KMV Corporation
Overview 157
Measuring Default Probability: The Problem 159
Measuring Default Probability: A Practical Approach 164
A Closer Look at Calculating EDFs 171
Calculating Long Term EDFs 176
Some Frequently Asked Questions About EDFs 177
x CONTENTS
Testing the Default Measure s Performance 186
Summary and Discussion 191
Chapter 8
Challenges in the General Valuation of Credit Derivatives 193
Mark A. Gold, Ph.D., Vice President, MBIA Insurance Corporation
Valuation of Interest Rate and Currency Derivatives 194
Problems in the Enforcement of Credit Derivative Valuations 195
Problems in the Application of Option Theory to Credit Derivative
Valuation 196
Modeling the Credit Evolutionary Process 198
Credit Interrelationships among Portfolio Assets 199
Forms of Third Party Credit Enhancement 200
Regulatory Inconsistencies in the Treatment of Different Forms of
Credit Insurance 201
Concessionary Pricing 202
Credit Arbitrage 203
Conclusion 203
PART FOUR ^^__
ACCOUNTING, TAX, LEGAL, AND REGULATORY
ENVIRONMENT
Chapter 9
Accounting for Credit Derivatives 207
John T. Lawton, Partner, PricewaterhouseCoopers LLP
Introduction 207
Total Return Swaps 208
Credit Spread Options 212
Credit Default Products 213
Securities with Embedded Credit Products 215
Disclosures 217
Conclusion 218
CONTENTS xi
Chapter 10
The Federal Income Tax Treatment of Credit Derivative
Transactions 221
Bruce Kayle, J. D., Partner, Milbank, Tweed, Hadley McCloy LLP
Introduction 221
Types of Credit Derivative Transactions 222
Analysis of Credit Derivative Transactions 230
Conclusion 273
Chapter 11
Credit Derivatives: Legal and Regulatory Issues 277
David Felsenthal, J. D., Partner, Clifford Chance
M. Sharmini Mahendran, Associate, Clifford Chance
Introduction 277
Bank Regulation 277
Insurance Regulation 282
Gambling Laws 285
Confidentiality 286
Netting 288
Securities Laws and Insider Dealing 290
Chapter 12
The Supervision of Credit Derivative Activities of Banking
Organizations 293
Daniel C. Staehle, Capital Markets Examiner, Office of the Comptroller of
the Currency
Christine M. Cumming, Ph.D., Senior Vice President, New York Federal
Reserve Bank
What are Credit Derivatives? 295
How are Banks Using Credit Derivatives? 299
What is New and Unique about Credit Derivatives from a Supervisor s
Viewpoint? 300
Capital Treatment of Credit Derivatives for Banks 303
Capital Charges Under the Derivatives Approach and the Direct Credit
Substitutes Approach 308
Capital Treatment for Banks Dealing Credit Derivatives 310
»i CONTENTS
The Impact of Credit Derivatives on Assessments of Bank s Asset
Quality 314
Impact of Credit Derivatives on Credit Concentrations 316
Risk Management and Internal Controls 318
Conclusion 322
Appendix to Chapter 12 324
Rating 1 (Strong) 324
Rating 2 (Satisfactory) 324
Rating 3 (Fair) 325
Rating 4 (Marginal) 325
Rating 5 (Unsatisfactory) 326
Chapter 13
The Use of Credit Derivatives in Credit Enhanced Credit
Linked Structured Notes: A Former Rating Analyst s
Perspective 327
David K. A. Mordecai, Vice President, AIG Risk Finance
The Role of Credit Derivatives in Off Balance Sheet and
Nonrecourse Financing 327
Credit Arbitrage and Default Risk Intermediation 332
Default Estimation and Credit Derivative Pricing 333
The Role of Asset Volatility in Valuing the Option of Default 336
The Economics of Credit Derivatives as Credit Enhancement 337
Credit Wrapping Structured Notes: Credit Derivatives from the Simple
to the Complex 341
Rating Credit Linked Structured Notes 343
Credit Arbitrage Strategies 349
Credit Enhancing Synthetic Note Structures 350
PART FIVE THE FUTURE OF CREDIT DERIVATIVES
Chapter 14
The Future of Credit Derivatives 357
Alden l_ Toevs, Ph.D., Executive Vice President, First Manhattan
Consulting Group
CONTENTS xiii
Credit Derivatives Pass the Tests Necessary for Successful
Financial Products 358
Other Factors Affect the Pace, but Not the Ultimate Success, of Credit
Derivatives 369
Forces are Now at Work to Address These Limited Factors; thus, Credit
Derivative Use Will Grow 374
Appendix
Credit Derivatives Glossary 377
Judah Kaplan, Associate, Credit Derivatives, Chase Securities, Inc.
Douglas S. Rolph, Ph.D. Candidate, Finance Department of the Graduate
School of Business, University of Washington
Index 385
|
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| isbn | 0070225885 |
| language | English |
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| spelling | Handbook of credit derivatives ed. by Jack Clark Francis ... New York [u.a.] McGraw-Hill 1999 XXIII, 392 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Irwin library of investment and finance Instruments dérivés de crédit Credit derivatives Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Derivat Wertpapier (DE-588)4381572-8 s DE-604 Kreditderivat (DE-588)7660453-6 s Kreditrisiko (DE-588)4114309-7 s DE-188 Francis, Jack Clark Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008848551&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Handbook of credit derivatives Instruments dérivés de crédit Credit derivatives Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)7660453-6 (DE-588)4381572-8 (DE-588)4143413-4 |
| title | Handbook of credit derivatives |
| title_auth | Handbook of credit derivatives |
| title_exact_search | Handbook of credit derivatives |
| title_full | Handbook of credit derivatives ed. by Jack Clark Francis ... |
| title_fullStr | Handbook of credit derivatives ed. by Jack Clark Francis ... |
| title_full_unstemmed | Handbook of credit derivatives ed. by Jack Clark Francis ... |
| title_short | Handbook of credit derivatives |
| title_sort | handbook of credit derivatives |
| topic | Instruments dérivés de crédit Credit derivatives Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Instruments dérivés de crédit Credit derivatives Kreditrisiko Kreditderivat Derivat Wertpapier Aufsatzsammlung |
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