Credit derivatives and credit linked notes:
Saved in:
| Previous Title: | Credit derivatives |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Singapore [u.a.]
Wiley
2000
|
| Edition: | 2. ed. |
| Series: | Wiley frontiers in finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | CD-ROM u.d.T.: Managing credit portfolios. - 1. Aufl. u.d.T.: Credit derivatives |
| Physical Description: | XXIII, 940 S. graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 0471840319 |
Staff View
MARC
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| 245 | 1 | 0 | |a Credit derivatives and credit linked notes |c Satyajit Das |
| 246 | 1 | 3 | |a Managing credit portfolios |
| 250 | |a 2. ed. | ||
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Record in the Search Index
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| adam_text |
Contents
List of Contributors xi
About the Contributors xii
Introduction xix
PART ONE PRODUCTS STRUCTURES 1
1 Credit Derivatives Products, S. Das 3
2 Credit Linked Notes Structured Notes, S. Das 69
3 Credit Linked Notes Repackaged Notes Repackaging Vehicles,
S. Das 97
4 Credit Linked Notes Credit Portfolio Securitization Structures,
S. Das 127
PART TWO APPLICATIONS 169
5 Credit Derivatives Applications, S. Das 171
PART THREE PRICING VALUATION ISSUES 237
6 Modeling Credit Risk / Pricing Credit Derivative Instruments,
S. Das 239
7 Using Default Rates to Model Term Structure of Credit Risk,
Jerome S. Fons 331
8 Analytics and Algorithms for Credit Derivatives, Haydn Stedman 349
9 Modeling Default Risk, Peter Crosbie 369
10 Historical Defaults and Recoveries for Corporate Bonds, Sean C.
Keenan, David T. Hamilton, and Lea V. Carty 411
11 Credit Rating Dynamics: Moody's Watchlist, Rating Migration, and
Credit Quality Correlation, Sean C. Keenan, Jerome S. Fons, and
Lea V. Carty 477
PART FOUR CREDIT PORTFOLIO MANAGEMENT 535
12 Overview to Credit Risk Modeling, Andrew Hickman 537
13 CreditMetrics™: Assessing the Marginal Risk Contribution of Credit,
Greg Gupton 557
14 CREDITRISK+™, Tom Wilde 589
PART FIVE MARKETS 629
15 The Market for Credit Derivatives, Robert Reoch 631
PART SIX RATINGS, DOCUMENTATION ACCOUNTING,
TAXATION ISSUES 655
16 Rating Implications for Credit Derivatives, Nels Anderson 657
17 Documentation Legal Issues, Christopher Whiteley 669
18 Accounting for Credit Derivatives, PricewaterhouseCoopers 747
19 Credit Derivatives and Credit Linked Notes Regulatory Treatment,
S. Das 817
PART SEVEN CONCLUSIONS 873
20 Credit Derivatives and Credit Risk Management Evolution and
Prospects, S. Das 875
Index 930
List of Contributors
1. Editor and Principal Contributor
SATYAJIT DAS
2. Other Contributors
NELS ANDERSON
Moody's Investors Service, London, UK
PETER CROSBIE
KMV Corporation, San Francisco, USA
LEA CARTY
Moody's Investors Service, New York, USA
JEROME S. FONS
Moody's Investors Service, New York, USA
GREG GUPTON
J.P. Morgan, New York, USA
DAVID HAMILTON
Moody's Investors Service, New York, USA
ANDREW J. HICKMAN
eRisks.com, New York, USA
SEAN KEENAN
Moody's Investors Service, New York, USA
ROBERT REOCH
Bank of America, San Francisco, USA
HAYDN STEDMAN
Citibank, Sydney, Australia
TOM WILDE
Credit Suisse First Boston, London, UK
CHRISTOPHER WHITELEY |
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| indexdate | 2024-12-20T17:00:23Z |
| institution | BVB |
| isbn | 0471840319 |
| language | English |
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| physical | XXIII, 940 S. graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2000 |
| publishDateSearch | 2000 |
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| publisher | Wiley |
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| series2 | Wiley frontiers in finance |
| spelling | Credit derivatives and credit linked notes Satyajit Das Managing credit portfolios 2. ed. Singapore [u.a.] Wiley 2000 XXIII, 940 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Wiley frontiers in finance CD-ROM u.d.T.: Managing credit portfolios. - 1. Aufl. u.d.T.: Credit derivatives Credit Management Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Derivat Wertpapier (DE-588)4381572-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Kreditrisiko (DE-588)4114309-7 s DE-188 Das, Satyajit Sonstige oth 1. Auflage Credit derivatives HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009174717&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Credit derivatives and credit linked notes Credit Management Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4114309-7 (DE-588)4121590-4 (DE-588)4143413-4 |
| title | Credit derivatives and credit linked notes |
| title_alt | Managing credit portfolios |
| title_auth | Credit derivatives and credit linked notes |
| title_exact_search | Credit derivatives and credit linked notes |
| title_full | Credit derivatives and credit linked notes Satyajit Das |
| title_fullStr | Credit derivatives and credit linked notes Satyajit Das |
| title_full_unstemmed | Credit derivatives and credit linked notes Satyajit Das |
| title_old | Credit derivatives |
| title_short | Credit derivatives and credit linked notes |
| title_sort | credit derivatives and credit linked notes |
| topic | Credit Management Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Credit Management Default (Finance) Derivative securities Risk management Derivat Wertpapier Kreditrisiko Risikomanagement Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009174717&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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