Credit derivatives: the definitive guide
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
London
Risk Books
2004
|
| Edition: | Reprinted |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXVIII, 494 S. graph. Darst. |
| ISBN: | 1904339123 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Foreword
List of panels
About the editor
List of contributors
Introduction
Jon Gregory
V
xiii
XV
xvii
xxvii
SECTION
1:
THE DEFAULT SWAP MARKET
Introduction
¡on Gregory
1
Credit derivatives: the past, the present and the future
Robert Reach
2
The determinant of credit spread returns
Jonke
Hottinga
and
Machiei
Zwanenburg
3
What s driving the default swap basis?
Viktor
Hjort
4
What is the value of modified restructuring?
Alex Reyfman and Klaus Toft
5
The debt and equity linkage and the valuation of
credit derivatives
Sean C. Keenan,
jorge
R.
Sobehart and Terry L. Benzschawel
13
37
47
67
SECTION
2:
DEFAULT CORRELATION AND CREDIT PORTFOLIO RISK
Introduction
93
/o« Gregory
6
Nth to default swaps and notes: all about default correlation
97
Douglas Lucas and Alberto Thomas
7
Portfolio credit risk models
Greg M. Gupton
113
credit
derivatives: the definitive guide
8
Credit derivatives as an efficient way of transitioning
to optimal portfolios
129
Alia Gil
SECTION
3:
STRUCTURED CREDIT DERIVATIVES AND PORTFOLIO
MANAGEMENT
Introduction
151
Jon Gregory
9
Overview of the CDO market
157
Eileen Murphy
10
Synthetic securitisation and structured portfolio credit
derivatives
169
Paul Hawkins
11
Integrating credit derivatives and securitisation technology:
the collateralised synthetic obligation
193
Moorad Choudhry
12
Considerations for dynamic and static, cash and synthetic
collateralised debt obligations
237
Alexander Batchvarov, Jenna Collins and William Davies
13
CDOs of CDOs: art eating itself?
257
Darren Smith
SECTION
4:
MODELS AND VALUATION
Introduction
283
¡on Gregory
14
Valuation and risk analysis of synthetic CDOs: a copula
function approach
287
David X Li and Jure
Skarabot
15
Extreme events and multi-name credit derivatives
313
Roy Mashal, Marco Naldi and Assaf Zeevi
16
Reduced-form models: curve construction and the pricing
of credit swaps, options, and hybrids
339
Leif
Andersen
17
Dynamite dynamics
371
Jesper Andreasen
18
Modelling and hedging of default risk
385
Monique
Jeanblanc and
Marek
Rutkowski
CONTENTS
SECTION
5:
REGULATORY,
DOCUMENTATION
AND LEGAL ASPECTS
Introduction
419
Jon Gregory
19
ISDA s role in the credit derivatives marketplace
423
Louise Marshall
20
Credit linked notes
431
Rodanthy Tzani and Maria
Leibholz
21
Using guarantees and credit derivatives to reduce credit risk
capital requirements under the new Basel Capital Accord
451
Erik Heitfield
Glossary
467
Index
485
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| illustrated | Illustrated |
| indexdate | 2024-07-09T19:22:34Z |
| institution | BVB |
| isbn | 1904339123 |
| language | English |
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| physical | XXVIII, 494 S. graph. Darst. |
| publishDate | 2004 |
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| publisher | Risk Books |
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| spelling | Credit derivatives the definitive guide ed. by Jon Gregory Reprinted London Risk Books 2004 XXVIII, 494 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Aufsatzsammlung - Kreditrisiko - Derivat <Wertpapier> Derivat Wertpapier (DE-588)4381572-8 s DE-604 Gregory, Jon Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010714592&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Credit derivatives the definitive guide Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4143413-4 |
| title | Credit derivatives the definitive guide |
| title_auth | Credit derivatives the definitive guide |
| title_exact_search | Credit derivatives the definitive guide |
| title_full | Credit derivatives the definitive guide ed. by Jon Gregory |
| title_fullStr | Credit derivatives the definitive guide ed. by Jon Gregory |
| title_full_unstemmed | Credit derivatives the definitive guide ed. by Jon Gregory |
| title_short | Credit derivatives |
| title_sort | credit derivatives the definitive guide |
| title_sub | the definitive guide |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivat Wertpapier Aufsatzsammlung Aufsatzsammlung - Kreditrisiko - Derivat <Wertpapier> |
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