Understanding credit derivatives and related instruments:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam [u.a.]
Elsevier Acad. Press
2005
|
| Series: | Academic Press advanced finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references (p. [325]-330) and index |
| Physical Description: | XIV, 339 S. graph. Darst. |
| ISBN: | 0121082652 |
Staff View
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Record in the Search Index
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| adam_text | CONTENTS I CREDIT DERIVATIVES: DEFINITION, MARKET, USES 1 1 CREDIT
DERIVATIVES: A BRIEF OVERVIEW 3 1.1 WHAT ARE CREDIT DERIVATIVES? 3 1.2
POTENTIAL GAINS FROM TRADE 5 1.3 TYPES OF CREDIT DERIVATIVES 6 1.3.1
SINGLE-NAME INSTRUMENTS 6 1.3.2 MULTI-NAME INSTRUMENTS 7 1.3.3
CREDIT-LINKED NOTES 8 1.3.4 SOVEREIGN VS. OTHER REFERENCE ENTITIES 8 1.4
VALUATION PRINCIPLES 9 1.4.1 FUNDAMENTAL FACTORS 10 1.4.2 OTHER
POTENTIAL RISK FACTORS 11 1.4.3 STATIC REPLICATION VS. ALODELING 12
1.4.4 A NOTE ON SUPPLY. DEMAND, AND MARKET FRICTIONS . 14 1.5
COUNTERPARTY CREDIT RISK (AGAIN) 15 2 THE CREDIT DERIVATIVES MARKET 17
2.1 EVOLUTION AND SIZE OF THE MARKET 18 2.2 MARKET ACTIVITY AND SIZE BY
INSTRUMENT TYPE 19 2.2.1 SINGLE- VS. MULTI-NAME INSTRUMENTS 20 2.2.2
SOVEREIGN VS. OTHER REFERENCE ENTITIES 21 VIII CONTENTS 2.2.3 CREDIT
QUALITY OF REFERENCE ENTITIES 21 2.2.4 MATURITIES OF MOST COMMONLY
NEGOTIATED CONTRACTS 23 2.3 MAIN MARKET PARTICIPANTS 23 2.3.1 BUYERS AND
SELLERS OF CREDIT PROTECTION 24 2.4 COMMON MARKET PRACTICES 25 2.4.1 A
FIRST LOOK AT DOCUMENTATION ISSUES 26 2.4.2 COLLATERALIZATION AND
NETTING 27 3 MAIN USES OF CREDIT DERIVATIVES 29 3.1 CREDIT RISK
MANAGEMENT BY BANKS 29 3.2 MANAGING BANK REGULATORY CAPITAL 31 3.2.1 A
BRIEF DIGRESSION: THE 1988 BASLE ACCORD 31 3.2.2 CREDIT DERIVATIVES AND
REGULATORY CAPITAL MANAGEMENT 33 3.3 YIELD ENHANCEMENT, PORTFOLIO
DIVERSIFICATION 35 3.3.1 LEVERAGING CREDIT EXPOSURE, UNFUNDED
INSTRUMENTS 35 3.3.2 SYNTHESIZING LONG POSITIONS IN CORPORATE DEBT 36
3.4 SHORTING CORPORATE BONDS 37 3.5 OTHER USES OF CREDIT DERIVATIVES 38
3.5.1 HEDGING VENDOR-FINANCED DEALS 38 3.5.2 HEDGING BY CONVERTIBLE BOND
INVESTORS 38 3.5.3 SELLING PROTECTION AS AN ALTERNATIVE TO LOAN
ORIGINATION 39 3.6 CREDIT DERIVATIVES AS MARKET INDICATORS 39 II MAIN
TYPES OF CREDIT DERIVATIVES 41 4 FLOATING-RATE NOTES 43 4.1 NOT A CREDIT
DERIVATIVE 43 4.2 HOW DOES IT WORK? 43 4.3 COMMON USES 45 4.4 VALUATION
CONSIDERATIONS 45 5 ASSET SWAPS 53 5.1 A BORDERLINE CREDIT DERIVATIVE 53
5.2 HOW DOES IT WORK? 54 5.3 COMMON USES 56 5.4 VALUATION CONSIDERATIONS
58 5.4.1 VALUING THE TWO PIECES OF AN ASSET SWAP 59 5.4.2 COMPARISON TO
PAR FLOATERS 62 CONTENTS IX 6 CREDIT DEFAULT SWAPS 67 6.1 HOW DOES IT
WORK? 68 6.2 COMMON USES 70 6.2.1 PROTECTION BUYERS 70 6.2.2 PROTECTION
SELLERS 71 6.2.3 SOME ADDITIONAL EXAMPLES 72 6.3 VALUATION
CONSIDERATIONS 73 6.3.1 CDS VS. CASH SPREADS IN PRACTICE 76 6.3.2 A
CLOSER LOOK AT THE CDS-CASH BASIS 78 6.3.3 WHEN CASH SPREADS ARE
UNAVAILABLE 80 6.4 VARIATIONS ON THE BASIC STRUCTURE 82 7 TOTAL RETURN
SWAPS 83 7.1 HOW DOES IT WORK? 83 7.2 COMMON USES 85 7.3 VALUATION
CONSIDERATIONS 87 7.4 VARIATIONS ON THE BASIC STRUCTURE 89 8 SPREAD AND
BOND OPTIONS 91 8.1 HOW DOES IT WORK? 91 8.2 COMMON USES 93 8.3
VALUATION CONSIDERATIONS 95 8.4 VARIATIONS ON BASIC STRUCTURES 96 9
BASKET DEFAULT SWAPS 99 9.1 HOW DOES IT WORK? 99 9.2 COMMON USES 101 9.3
VALUATION CONSIDERATIONS 101 9.3.1 A FIRST LOOK AT DEFAULT CORRELATION
104 9.4 VARIATIONS ON THE BASIC STRUCTURE 105 10 PORTFOLIO DEFAULT SWAPS
107 10.1 HOW DOES IT WORK? 107 10.2 COMMON USES 110 10.3 VALUATION
CONSIDERATIONS 110 10.3.1 A FIRST LOOK AT THE LOSS DISTRIBUTION FUNCTION
... ILL 10.3.2 LOSS DISTRIBUTION AND DEFAULT CORRELATION 113 10.4
VARIATIONS ON THE BASIC STRUCTURE 116 11 PRINCIPAL-PROTECTED STRUCTURES
117 11.1 HOW DOES IT WORK? 117 11.2 COMMON USES 119 11.3 VALUATION
CONSIDERATIONS 119 11.4 VARIATIONS ON THE BASIC STRUCTURE 122 X CONTENTS
12 CREDIT-LINKED NOTES 123 12.1 HOW DOES IT WORK? 123 12.2 COMMON USES
125 12.3 VALUATION CONSIDERATIONS 126 12.4 VARIATIONS ON THE BASIC
STRUCTURE 126 13 REPACKAGING VEHICLES 127 13.1 HOW DOES IT WORK? 127
13.2 WHY USE REPACKAGING VEHICLES? 129 13.3 VALUATION CONSIDERATIONS 130
13.4 VARIATIONS ON THE BASIC STRUCTURE 130 14 SYNTHETIC CDOS 133 14.1
TRADITIONAL CDOS 133 14.1.1 HOW DOES IT WORK? 134 14.1.2 COMMON USES:
BALANCE-SHEET AND ARBITRAGE CDOS 136 14.1.3 VALUATION CONSIDERATIONS 137
14.2 SYNTHETIC SECURITIZATION 137 14.2.1 COMMON USES: WHY GO SYNTHETIC?
139 14.2.2 VALUATION CONSIDERATIONS FOR SYNTHETIC CDOS . . . . 140
14.2.3 VARIATIONS ON THE BASIC STRUCTURE 140 III INTRODUCTION TO CREDIT
MODELING I: SINGLE-NAME DEFAULTS 143 15 VALUING DEFAULTABLE BONDS 145
15.1 ZERO-COUPON BONDS 145 15.2 RISK-NEUTRAL VALUATION AND PROBABILITY
147 15.2.1 RISK-NEUTRAL PROBABILITIES 149 15.3 COUPON-PAYING BONDS 150
15.4 NONZERO RECOVERY 152 15.5 RISKY BOND SPREADS 153 15.6 RECOVERY
RATES 154 16 THE CREDIT CURVE 157 16.1 CDS-IMPLIED CREDIT CURVES 158
16.1.1 IMPLIED SURVIVAL PROBABILITIES 159 16.1.2 EXAMPLES 161 16.1.3
FLAT CDS CURVE ASSUMPTION 162 16.1.4 A SIMPLE RULE OF THUMB 163 16.1.5
SENSITIVITY TO RECOVERY RATE ASSUMPTIONS 164 16.2 MARKING TO MARKET A
CDS POSITION 164 CONTENTS XI 16.3 VALUING A PRINCIPAL-PROTECTED NOTE 166
16.3.1 EXAMPLES 167 16.3.2 PPNS VS. VANILLA NOTES 168 16.4 OTHER
APPLICATIONS AND SOME CAVEATS 169 17 MAIN CREDIT MODELING APPROACHES 171
17.1 STRUCTURAL APPROACH 172 17.1.1 THE BLACK-SCHOLES-MERTON MODEL 172
17.1.2 SOLVING THE BLACK-SCHOLES-MERTON MODEL 176 17.1.3 PRACTICAL
IMPLEMENTATION OF THE MODEL 178 17.1.4 EXTENSIONS AND EMPIRICAL
VALIDATION 178 17.1.5 CREDIT DEFAULT SWAP VALUATION 181 17.2
REDUCED-FORM APPROACH 183 17.2.1 OVERVIEW OF SOME IMPORTANT CONCEPTS 183
17.2.1.1 STOCHASTIC INTEREST RATES 184 17.2.1.2 FORWARD DEFAULT
PROBABILITIES 185 17.2.1.3 FORWARD DEFAULT RATES 186 17.2.2 DEFAULT
INTENSITY 188 17.2.3 UNCERTAIN TIME OF DEFAULT 190 17.2.4 VALUING
DEFAULTABLE BONDS 191 17.2.4.1 NONZERO RECOVERY 192 17.2.4.2 ALTERNATIVE
RECOVERY ASSUMPTIONS . . . . 193 17.2.5 EXTENSIONS AND USES OF
REDUCED-FORM MODELS . . . . 196 17.2.6 CREDIT DEFAULT SWAP VALUATION 197
17.3 COMPARING THE TWO MAIN APPROACHES 198 17.4 RATINGS-BASED MODELS 200
18 VALUING CREDIT OPTIONS 205 18.1 FORWARD-STARTING CONTRACTS 205 18.1.1
VALUING A FORWARD-STARTING CDS 206 18.1.2 OTHER FORWARD-STARTING
STRUCTURES 207 18.2 VALUING CREDIT DEFAULT SWAPTIONS 208 18.3 VALUING
OTHER CREDIT OPTIONS 210 18.4 ALTERNATIVE VALUATION APPROACHES 211 18.5
VALUING BOND OPTIONS 211 IV INTRODUCTION TO CREDIT MODELING II:
PORTFOLIO CREDIT RISK 213 19 THE BASICS OF PORTFOLIO CREDIT RISK 215
19.1 DEFAULT CORRELATION 215 19.1.1 PAIRWISE DEFAULT CORRELATION 216
19.1.2 MODELING DEFAULT CORRELATION 219 19.1.3 PAIRWISE DEFAULT
CORRELATION AND 3 223 XII CONTENTS 19.2 THE LOSS DISTRIBUTION FUNCTION
224 19.2.1 CONDITIONAL LOSS DISTRIBUTION FUNCTION 225 19.2.2
UNCONDITIONAL LOSS DISTRIBUTION FUNCTION 226 19.2.3 LARGE-PORTFOLIO
APPROXIMATION 228 19.3 DEFAULT CORRELATION AND LOSS DISTRIBUTION 230
19.4 MONTE CARLO SIMULATION: BRIEF OVERVIEW 231 19.4.1 HOW ACCURATE IS
THE SIMULATION-BASED METHOD? 233 19.4.2 EVALUATING THE LARGE-PORT FOLIO
METHOD 235 19.5 CONDITIONAL VS. UNCONDITIONAL LOSS DISTRIBUTIONS 237
19.6 EXTENSIONS AND ALTERNATIVE APPROACHES 238 20 VALUING BASKET DEFAULT
SWAPS 239 20.1 BASIC FEATURES OF BASKET SWAPS 239 20.2 REEXAMINING THE
TWO-ASSET FTD BASKET 240 20.3 FTD BASKET WITH SEVERAL REFERENCE ENTITIES
241 20.3.1 A SIMPLE NUMERICAL EXAMPLE 241 20.3.2 A MORE REALISTIC
VALUATION EXERCISE 243 20.4 THE SECOND-TO-DEFAULT BASKET 246 20.5 BASKET
VALUATION AND ASSET CORRELATION 247 20.6 EXTENSIONS AND ALTERNATIVE
APPROACHES 248 21 VALUING PORTFOLIO SWAPS AND CDOS 249 21.1 A SIMPLE
NUMERICAL EXAMPLE 249 21.2 MODEL-BASED VALUATION EXERCISE 252 21.3 THE
EFFECTS OF ASSET CORRELATION 255 21.4 THE LARGE-PORT FOLIO APPROXIMATION
257 21.5 VALUING CDOS: SOME BASIC INSIGHTS 258 21.5.1 SPECIAL
CONSIDERATIONS FOR CDO VALUATION 258 21.6 CONCLUDING REMARKS 259 22 A
QUICK TOUR OF COMMERCIAL MODELS 261 22.1 CREDITMETRICS 262 22.2 THE KMV
FRAMEWORK 262 22.3 CREDITRISK + 263 22.4 MOODY S BINOMIAL EXPANSION
TECHNIQUE 264 22.5 CONCLUDING REMARKS 265 23 MODELING COUNTERPARTY
CREDIT RISK 267 23.1 THE SINGLE-NAME CDS AS A TWO-ASSET PORTFOLIO 268
23.2 THE BASIC MODEL 268 23.3 A CDS WITH NO COUNTERPARTY CREDIT RISK 270
23.4 A CDS WITH COUNTERPARTY CREDIT RISK 272 CONTENTS XIII 23.4.1
ANALYTICAL DERIVATION OF JOINT PROBABILITIES OF DEFAULT 273 23.4.2
SIMULATION-BASED APPROACH 277 23.4.3 AN EXAMPLE 278 23.5 OTHER MODELS
AND APPROACHES 280 23.6 COUNTERPARTY CREDIT RISK IN MULTI-NAME
STRUCTURES . . . . 281 23.7 CONCLUDING THOUGHTS 281 V A BRIEF OVERVIEW
OF DOCUMENTATION AND REGULATORY ISSUES 283 24 ANATOMY OF A CDS
TRANSACTION 285 24.1 STANDARDIZATION OF CDS DOCUMENTATION 286 24.1.1
ESSENTIAL TERMS OF A CDS TRANSACTION 288 24.1.1.1 THE REFERENCE ENTITY
288 24.1.1.2 REFERENCE AND DELIVERABLE OBLIGATIONS . . 289 24.1.1.3
SETTLEMENT METHOD 289 24.1.1.4 CREDIT EVENTS 289 24.1.2 OTHER IMPORTANT
DETAILS OF A CDS TRANSACTION . . . 290 24.1.3 A FEW WORDS OF CAUTION 291
24.2 WHEN A CREDIT EVENT TAKES PLACE 291 24.2.1 CREDIT EVENT
NOTIFICATION AND VERIFICATION 291 24.2.2 SETTLING THE CONTRACT 292 24.3
THE RESTRUCTURING DEBATE 293 24.3.1 A CASE IN POINT: CONSECO 294 24.3.2
MODIFIED RESTRUCTURING 295 24.3.3 A BIFURCATED MARKET 295 24.4 VALUING
THE RESTRUCTURING CLAUSE 296 24.4.1 IMPLICATIONS FOR IMPLIED SURVIVAL
PROBABILITIES . . . 296 25 A PRIMER ON BANK REGULATORY ISSUES 299 25.1
THE BASEL II CAPITAL ACCORD 300 25.2 BASEL II RISK WEIGHTS AND CREDIT
DERIVATIVES 302 25.3 SUGGESTIONS FOR FURTHER READING 303 APPENDIX A
BASIC CONCEPTS FROM BOND MATH 305 A.I ZERO-COUPON BONDS 305 A.2
COMPOUNDING 306 A.3 ZERO-COUPON BOND PRICES AS DISCOUNT FACTORS 307 A.4
COUPON-PAYING BONDS 307 A.5 INFERRING ZERO-COUPON YIELDS FROM THE COUPON
CURVE . . . . 308 A.6 FORWARD RATES 309 A.7 FORWARD INTEREST RATES AND
BOND PRICES 310 XIV CONTENTS APPENDIX B BASIC CONCEPTS FROM STATISTICS
313 B.I CUMULATIVE DISTRIBUTION FUNCTION 313 B.2 PROBABILITY FUNCTION
314 B.3 PROBABILITY DENSITY FUNCTION 314 B.4 EXPECTED VALUE AND VARIANCE
315 B.5 BERNOULLI TRIALS AND THE BERNOULLI DISTRIBUTION 316 B.6 THE
BINOMIAL DISTRIBUTION 316 B.7 THE POISSON AND EXPONENTIAL DISTRIBUTIONS
317 B.8 THE NORMAL DISTRIBUTION 320 B.9 THE LOGNORMAL DISTRIBUTION 321
B. 10 JOINT PROBABILITY DISTRIBUTIONS 322 B. 11 INDEPENDENCE 323 B.12
THE BIVARIATE NORMAL DISTRIBUTION 323 BIBLIOGRAPHY 325 INDEX 331
|
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| id | DE-604.BV019825979 |
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| indexdate | 2024-07-09T20:07:00Z |
| institution | BVB |
| isbn | 0121082652 |
| language | English |
| lccn | 2005270009 |
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| publishDate | 2005 |
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| publisher | Elsevier Acad. Press |
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| spelling | Bomfim, Antúlio N. Verfasser (DE-588)124673147 aut Understanding credit derivatives and related instruments Antulio N. Bomfim Amsterdam [u.a.] Elsevier Acad. Press 2005 XIV, 339 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Academic Press advanced finance series Includes bibliographical references (p. [325]-330) and index Credit derivatives Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditderivat (DE-588)7660453-6 s DE-604 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013151164&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bomfim, Antúlio N. Understanding credit derivatives and related instruments Credit derivatives Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)7660453-6 |
| title | Understanding credit derivatives and related instruments |
| title_auth | Understanding credit derivatives and related instruments |
| title_exact_search | Understanding credit derivatives and related instruments |
| title_full | Understanding credit derivatives and related instruments Antulio N. Bomfim |
| title_fullStr | Understanding credit derivatives and related instruments Antulio N. Bomfim |
| title_full_unstemmed | Understanding credit derivatives and related instruments Antulio N. Bomfim |
| title_short | Understanding credit derivatives and related instruments |
| title_sort | understanding credit derivatives and related instruments |
| topic | Credit derivatives Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Credit derivatives Kreditderivat |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013151164&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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