Mastering credit derivatives: a step-by-step guide to credit derivatives and their application
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Harlow ; Munich [u.a.]
Financial Times Prentice-Hall
1999
|
| Edition: | 1. publ. in Great Britain |
| Series: | Market editions
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXI, 181 S. graph. Darst. |
| ISBN: | 0273639285 |
Staff View
MARC
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Record in the Search Index
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| adam_text | CONTENTS
Foreword xi
Introduction xiii
About this book xiii
Introduction to credit derivatives and credit risk xiii
Credit risk management xvi
Asia and credit derivatives xix
Understanding credit derivatives xx
1 The Emergence of the Credit Derivative Market 1
The potential of credit derivatives 3
Sellers lead 4
Credit default swaps 4
Corporate use of credit derivatives 8
The workings of a total return swap 11
The structured credit linked note market 12
Spread options 15
Stripping Bradys 16
The market for credit derivatives 19
Summary 20
2 Credit Derivative Instruments 21
Introduction 23
1 Credit default swaps 23
Credit default swap cash flows 28
Default swap settlement 28
Some credit default swap trade examples 30
2 Total return swaps 38
Some investment applications for total return swaps 42
Repurchase agreement (repo) versus a total return (TR) swap 44
3 Credit options 50
Summary 56
Mastering Credit Derivatives
3 Credit Derivative Applications 59
Basic credit derivative trading applications 61
i Credit Linked Notes 65
Introduction to credit linked notes (CLNs) 67
Structured notes and credit linked notes 67
Creation of structured notes 68
An example of a credit linked note 72
Why would a financial institution use CLNs? 73
Total rate of return credit linked notes 74
Credit default notes 78
Synthetic bonds 80
A closer look at leveraged credit derivatives 85
5 Risks Associated with Credit Derivatives 91
Credit risk 93
Counterparty risk 94
Transaction risk 95
Liquidity risk 96
Compliance risk 97
Legal and regulatory risk 97
Pricing risk 98
Reputation risk 99
6 (ollaterized Bond Obligations (CBOs) 101
Introduction 103
Replication 104
Investors and yield pick up 104
Financial engineering 105
The CBO principle 106
Coupon enhanced credit linked SIRES (CLSs) HI
Some coupon enhanced linked note trade examples 113
7 Regulatory Capital for Credit Derivatives ns
Introduction 117
The regulatory issues 118
Regulatory analysis 119
Contents
US position on credit derivative regulations 121
Bank of England view on credit derivative regulations 123
SFA approach to credit derivative regulation 124
Criticisms of the regulatory approach to credit derivatives 125
Weaknesses of the Basle Accord 127
Possible regulatory or other problems with credit derivatives 131
Securities laws 136
8 Pricing of Credit Derivatives 137
Introduction 139
An introduction to ratings based default models 139
An introduction to credit spread based default models 140
An introduction to pricing based on guarantee product markets 141
An introduction to the replication/cost of funds pricing method 141
Theoretical pricing models of credit risk and default swap pricing 142
Financing market conventions 157
9 Practical Credit Default Swap Applications 165
Introduction 167
Creating synthetic assets 167
Hedging cash bond exposure 169
Arbitrage default swaps, cash and repo 172
Conclusion 174
Index 175
ix
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| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. in Great Britain |
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| id | DE-604.BV013565176 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:48:05Z |
| institution | BVB |
| isbn | 0273639285 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009264541 |
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| physical | XXI, 181 S. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Financial Times Prentice-Hall |
| record_format | marc |
| series2 | Market editions |
| spelling | Kasapis, Andrew Verfasser aut Mastering credit derivatives a step-by-step guide to credit derivatives and their application Andrew Kasapi 1. publ. in Great Britain Harlow ; Munich [u.a.] Financial Times Prentice-Hall 1999 XXI, 181 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Market editions Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009264541&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kasapis, Andrew Mastering credit derivatives a step-by-step guide to credit derivatives and their application Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4381572-8 |
| title | Mastering credit derivatives a step-by-step guide to credit derivatives and their application |
| title_auth | Mastering credit derivatives a step-by-step guide to credit derivatives and their application |
| title_exact_search | Mastering credit derivatives a step-by-step guide to credit derivatives and their application |
| title_full | Mastering credit derivatives a step-by-step guide to credit derivatives and their application Andrew Kasapi |
| title_fullStr | Mastering credit derivatives a step-by-step guide to credit derivatives and their application Andrew Kasapi |
| title_full_unstemmed | Mastering credit derivatives a step-by-step guide to credit derivatives and their application Andrew Kasapi |
| title_short | Mastering credit derivatives |
| title_sort | mastering credit derivatives a step by step guide to credit derivatives and their application |
| title_sub | a step-by-step guide to credit derivatives and their application |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivat Wertpapier |
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