Credit derivatives & synthetic structures: a guide to instruments and applications
Gespeichert in:
| Vorheriger Titel: | Tavakoli, Janet M. Credit derivatives |
|---|---|
| 1. Verfasser: | |
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
2001
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 1. Aufl. u.d.T.: Tavakoli, Janet M.: Credit derivatives |
| Beschreibung: | VII, 312 S. |
| ISBN: | 047141266X |
Internformat
MARC
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| 650 | 4 | |a Credit derivatives | |
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Datensatz im Suchindex
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| adam_text | csntsRts
Introduction 1
CHAPTHil
Credit Derivatives Market Overview 5
Estimated Market Size 5
Evolution of the Market 7
Techniques of Credit Risk Measurement 12
CHAPTER 2
Total Rate ol Return Swaps—Synthetic Financing 18
Motivation of the Receiver of the Total Rate of Return 24
Motivation of the Payer 27
Regulatory Capital and Bank Motivation 28
Creating Synthetic Assets 35
Mismatched Maturities 35
Tranched Asset Swap versus TRORS 36
Funding Arbitrage and Joint Probability of Default 38
Balance Sheet Management 41
Advanced Balance Sheet Management 42
Relative Performance TRORS 44
Hedge Funds and Loan TRORS 44
Loan TRORS Mechanics 47
Hedge Funds and Leverage 55
Hedge Funds and Leveraged Exposure to Spreads 57
Relative Value and Balance Sheet Management 59
Credit Exposure and the Conditional Probability of Default 62
Maturity Mismatches: Loans and Synthetic CLOs 71
V
VI CONTENTS
CHAPTERS
Credit Default Swaps and Options 73
Traditional Credit Default Swap 77
Importance of the Default Protection Seller 82
Defining the Event 88
Default Language for Nonsovereign Debt 91
Redefining the Credit Default Event as a Credit Event 96
Basis Risk: Imperfect Correlation between the
Reference Asset and Risk 99
Variations in Sovereign Default Language 101
Materiality, Price Adjustments, and Substitution:
More Potential Sources of Basis Risk 103
Basis Risk and Substitution 106
Termination Payments 108
Pricing and Applications 122
CHAPTHI4
Exotic Structures 141
Asset Swap Switches 142
Knock in Options, Credit Spread Options, and Forwards 145
Balance Sheet Swaps and Exposure Management 149
Callable Step Ups 155
Synthetic Lending Facilities 159
Geared Default Options 160
Basis Risk: Delivery, Hedge Costs, and Calculations 165
Basket Credit Default Swaps 171
Pricing Basket Credit Default Swaps 175
Regulatory Viewpoints 181
Knock in Basket Options 184
Reduced Loss Credit Default Options 184
Pro Rata Default Structures 186
CHAPTER5
Sovereign Risk and Emerging Market* 189
The Guesstimaters Market 191
Tax Arbitrage 196
Contents Vll
Credit Plays—The Home Currency Advantage 198
The Currency Question in Sovereign Default Protection 201
CHAPTER 6
CrodR Llnked Notes 228
Reasons for the Existence of Credit Linked Notes 223
Credit Default Linked Notes 224
Credit Sensitive Notes 233
Index Linked Notes 233
CHAPTER 7
Synthetic CoNateraNzed Loan OMgattons 287
General Comments on Securitization 237
Unwind Triggers 240
Synthetic CLOs 241
Rating Criteria 245
Black Box Structures 246
Secured Loan Trusts: Synthetic CLOs and TRORS 247
Equity Piece Buyers 249
Cash Flow Overview 250
Risks to the Bank Sponsor 251
The Bank Sponsor and Counterparty Risk 251
Structural Considerations 253
Synthetic Securitizations for Highly Rated Banks 254
BISTROs 256
The Super Senior Tranche 259
Securitizing First Loss Risk with Principal Protected Notes 259
Credit Arbitrage Funds 261
CHAPTER 8
Selected Documentation, Regulator* Booking, and Legal Issues 286
Hidden Costs in Default Language 267
Guarantees, Insurance, and Credit Derivatives 272
Booking Issues 273
Regulatory Capital 274
Booking in Nonbank Entities 281
Selected Cross Border Issues 281
yiii contents
CHAPTER 9
Future of the Global Market 288
Basis Risk: Delivery Options and Credit Events 285
Bank Best Practices 288
Internet Trading 294
An Inevitable Shake Up 296
Trend to a Commodity Market 298
Selected BibNography 289
Index 802
|
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| author_variant | j m t jm jmt |
| building | Verbundindex |
| bvnumber | BV013829173 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2 |
| dewey-search | 332.63/2 |
| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| indexdate | 2024-07-09T18:52:45Z |
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| isbn | 047141266X |
| language | English |
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| physical | VII, 312 S. |
| publishDate | 2001 |
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| spelling | Tavakoli, Janet M. Verfasser aut Credit derivatives & synthetic structures a guide to instruments and applications Janet M. Tavakoli 2. ed. New York [u.a.] Wiley 2001 VII, 312 S. txt rdacontent n rdamedia nc rdacarrier 1. Aufl. u.d.T.: Tavakoli, Janet M.: Credit derivatives Gestion de crédit rasuqam Instrument dérivé de crédit rasuqam Credit Credit derivatives Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Securitization (DE-588)4140657-6 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf (DE-588)4151278-9 Einführung gnd-content Guide (Descripteur de forme) rasuqam Kreditderivat (DE-588)7660453-6 s DE-604 Finanzinnovation (DE-588)4124975-6 s Securitization (DE-588)4140657-6 s Derivat Wertpapier (DE-588)4381572-8 s Kreditrisiko (DE-588)4114309-7 s DE-188 Früher u.d.T. Tavakoli, Janet M. Credit derivatives HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009457983&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tavakoli, Janet M. Credit derivatives & synthetic structures a guide to instruments and applications Gestion de crédit rasuqam Instrument dérivé de crédit rasuqam Credit Credit derivatives Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd Kreditderivat (DE-588)7660453-6 gnd Securitization (DE-588)4140657-6 gnd Finanzinnovation (DE-588)4124975-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)7660453-6 (DE-588)4140657-6 (DE-588)4124975-6 (DE-588)4114309-7 (DE-588)4151278-9 |
| title | Credit derivatives & synthetic structures a guide to instruments and applications |
| title_auth | Credit derivatives & synthetic structures a guide to instruments and applications |
| title_exact_search | Credit derivatives & synthetic structures a guide to instruments and applications |
| title_full | Credit derivatives & synthetic structures a guide to instruments and applications Janet M. Tavakoli |
| title_fullStr | Credit derivatives & synthetic structures a guide to instruments and applications Janet M. Tavakoli |
| title_full_unstemmed | Credit derivatives & synthetic structures a guide to instruments and applications Janet M. Tavakoli |
| title_old | Tavakoli, Janet M. Credit derivatives |
| title_short | Credit derivatives & synthetic structures |
| title_sort | credit derivatives synthetic structures a guide to instruments and applications |
| title_sub | a guide to instruments and applications |
| topic | Gestion de crédit rasuqam Instrument dérivé de crédit rasuqam Credit Credit derivatives Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd Kreditderivat (DE-588)7660453-6 gnd Securitization (DE-588)4140657-6 gnd Finanzinnovation (DE-588)4124975-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Gestion de crédit Instrument dérivé de crédit Credit Credit derivatives Default (Finance) Derivative securities Risk management Derivat Wertpapier Kreditderivat Securitization Finanzinnovation Kreditrisiko Einführung Guide (Descripteur de forme) |
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