Applications of credit derivatives: opportunities and risks involved in credit derivatives
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Diplomica-Verl.
2008
|
| Series: | Diplomarbeit
|
| Subjects: | |
| Online Access: | Inhaltstext Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | 97 S. graph. Darst. 28 cm, 233 gr. |
| ISBN: | 9783836658423 |
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| adam_text |
Harald Seemann - Applications of Credit Derivatives
Applications of Credit Derivatives
Table of Contents Page
Illustration Index.3
Table Index.4
Abbreviation Index.5
Index of Appendices.5
1. Current Issue.7
1.1. Purpose of the thesis.9
1.2. Structure of the thesis.'.10
2. Credit Risk Management - Foundations.11
2.1. Credit Risk versus Market Risk.:.11
2.2. Impacts of Basel II.12
2.3. Classification and Evolution of Credit Derivatives.13
2.4. Main Types of Credit Derivatives.15
2.4.1. Total Return Swap.16
2.4.2. Credit Default Swap.17
2.4.2.1. Variations of Credit Default Swaps.18
2.4.3. Credit Linked Notes - Rationale.19
2.4.3.1. Collaterized Debt Obligation.21
2.4.3.2. Synthetic Collaterized Debt Obligation.22
2.5. Contract Characteristics.24
2.5.1. Reference Asset.24
2.5.2. Risk Premium.25
2.5.3. Credit Event.26
2.5.4. Recovery Rate.29
2.5.5. Forms of Default Payment.32
2.5.5.1. Cash Settlement.32
2.5.5.2. Physical Settlement.32
2.6. Standardized Documentation.33
2.6.1. International Swaps and Derivatives Association.33
2.7. Succession of CDS Reference Entities.35
Harald Seemann - Applications of Credit Derivatives
3. Applications of Credit Derivatives.37
3.1. Portfolio Diversification.37
3.2. Short Positioning.37
3.3. Concentration Risk.38
3.4. Hedging.43
3.4.1. Distressed Buyer.43
3.4.2. Vendor Financing.44
3.4.3. Leasing Exposure.45
3.4.4. Managing Funding Cost Risk.46
3.4.5. Synthetic Debt Repurchase.48
3.5. Basics of Target Profiles.49
3.5.1. Cash Bonds versus Synthetic Securitization.49
3.6. Regulatory Arbitrage.50
4. Pricing of Credit Derivatives.53
4.1. Firm Value Model.54
4.1.1. Valuation Approach.55
4.1.2. Advantages and Disadvantages of the Firm Value Model.59
4.1.3. Moody's KMV Risk Management Tools today.60
4.1.4. Equity Prices and Bankruptcy.61
4.2. Market Pricing Model for Credit Correlation Products.62
4.2.1. 100% Credit Default Correlation.65
4.2.2. -100% Credit Default Correlation.66
4.2.3. 0% Credit Default Correlation.67
4.2.4. Findings from Default Correlation Analysis.68
4.3. Credit Rating Transition Models.69
4.3.1. Valuation Approach.69
4.3.2. Advantages and Disadvantages of Credit Rating Transition Models.71
5. Evaluation of Credit Derivatives.73
5.1. Opportunities and Risks involved in Credit Derivatives.73
5.2. Role and Responsibility of Regulators.77
5.3. Credit Derivatives in the Global Credit Markets.78
Bibliography.81
Harald Seemann - Applications of Credit Derivatives
Illustration Index
Illustration 1: Global Credit Derivatives Market Growth.8
Illustration 2: Most common product types among Credit Derivatives.15
Illustration 3: Funded structure of a Total Return Swap.16
Illustration 4: Graphical illustration of a Credit Default Swap.18
Illustration 5: Synthetic Collaterized Debt Obligation.23
Illustration 6: Cash Flows without a Credit Event.29
Illustration 7: Cash Flows with Credit Event (Physical Settlement).29
Illustration 8: Example for Succession of CDS Reference Entities.36
Illustration 9: Nokia raises funds and hedges credit risk of the Algerian operator.44
Illustration 10: Elad Properties monetizes the lease - sale of its credit risk on Rite Aid.45
Illustration 11: Example of Synthetic Debt Repurchase from Wal-Mart.48
Illustration 12: Distribution of terminal firm value at maturity of debt.58
Illustration 13: Global Loan Defaults from 1996 to 2005.62
Illustration 14: Global Bond Defaults from 1996 to 2005.62
Illustration 15: Default Realization in a Venn diagram.64
Illustration 16: 100% Credit Default Correlation.65
Illustration 17: -100% Credit Default Correlation.66
Illustration 18: 0% Credit Default Correlation.68
Harald Seemann - Applications of Credit Derivatives
Table Index
Table 1: Classification and Evolution of Credit Derivatives.13
Table 2: Example of a Reference Asset.24
Table 3: Average Recovery Rates by Industry.31
Table 4: An example of the effect of diversification on portfolio credit risk.41
Table 5: 5-year Funding Levels.44
Table 6: Credit spread structure of Continental for different maturities.46
Table 7: Balance sheet CDO introduction.50
Table 8: CDO Capital Structure.51
Table 9: Regulatory Capital Position before CDO Transaction.51
Table 10: Regulatory Capital Position in a Traditional CDO.51
Table 11: Regulatory Capital Position in a Synthetic CDO.51
Table 12: Balance sheet CDO Net Capital Savings.52
Table 13: Ongoing Benefit each year from Traditional and Synthetic CDOs.52
Table 14: Balance Sheet CDO Return on Capital.52
Table 15: Simplified Example of Firm Value Model.56
Table 16: EDF versus Ratings agency default measures.56
Table 17: Comparison of Credit Default Swap and Equity Default Swap.61
Table 18: Nth-to-default basket vs. Synthetic CDO.63
Table 19: Sample Basket for a Credit Correlation Product.64
Table 20: Cumulative default probabilities in percent from 1970 - 2003 by Moody's.70
Table 21: Marginal default probabilities in percent from 1970 - 2003 by Moody's.70 |
| adam_txt |
Harald Seemann - Applications of Credit Derivatives
Applications of Credit Derivatives
Table of Contents Page
Illustration Index.3
Table Index.4
Abbreviation Index.5
Index of Appendices.5
1. Current Issue.7
1.1. Purpose of the thesis.9
1.2. Structure of the thesis.'.10
2. Credit Risk Management - Foundations.11
2.1. Credit Risk versus Market Risk.:.11
2.2. Impacts of Basel II.12
2.3. Classification and Evolution of Credit Derivatives.13
2.4. Main Types of Credit Derivatives.15
2.4.1. Total Return Swap.16
2.4.2. Credit Default Swap.17
2.4.2.1. Variations of Credit Default Swaps.18
2.4.3. Credit Linked Notes - Rationale.19
2.4.3.1. Collaterized Debt Obligation.21
2.4.3.2. Synthetic Collaterized Debt Obligation.22
2.5. Contract Characteristics.24
2.5.1. Reference Asset.24
2.5.2. Risk Premium.25
2.5.3. Credit Event.26
2.5.4. Recovery Rate.29
2.5.5. Forms of Default Payment.32
2.5.5.1. Cash Settlement.32
2.5.5.2. Physical Settlement.32
2.6. Standardized Documentation.33
2.6.1. International Swaps and Derivatives Association.33
2.7. Succession of CDS Reference Entities.35
Harald Seemann - Applications of Credit Derivatives
3. Applications of Credit Derivatives.37
3.1. Portfolio Diversification.37
3.2. Short Positioning.37
3.3. Concentration Risk.38
3.4. Hedging.43
3.4.1. Distressed Buyer.43
3.4.2. Vendor Financing.44
3.4.3. Leasing Exposure.45
3.4.4. Managing Funding Cost Risk.46
3.4.5. Synthetic Debt Repurchase.48
3.5. Basics of Target Profiles.49
3.5.1. Cash Bonds versus Synthetic Securitization.49
3.6. Regulatory Arbitrage.50
4. Pricing of Credit Derivatives.53
4.1. Firm Value Model.54
4.1.1. Valuation Approach.55
4.1.2. Advantages and Disadvantages of the Firm Value Model.59
4.1.3. Moody's KMV Risk Management Tools today.60
4.1.4. Equity Prices and Bankruptcy.61
4.2. Market Pricing Model for Credit Correlation Products.62
4.2.1. 100% Credit Default Correlation.65
4.2.2. -100% Credit Default Correlation.66
4.2.3. 0% Credit Default Correlation.67
4.2.4. Findings from Default Correlation Analysis.68
4.3. Credit Rating Transition Models.69
4.3.1. Valuation Approach.69
4.3.2. Advantages and Disadvantages of Credit Rating Transition Models.71
5. Evaluation of Credit Derivatives.73
5.1. Opportunities and Risks involved in Credit Derivatives.73
5.2. Role and Responsibility of Regulators.77
5.3. Credit Derivatives in the Global Credit Markets.78
Bibliography.81
Harald Seemann - Applications of Credit Derivatives
Illustration Index
Illustration 1: Global Credit Derivatives Market Growth.8
Illustration 2: Most common product types among Credit Derivatives.15
Illustration 3: Funded structure of a Total Return Swap.16
Illustration 4: Graphical illustration of a Credit Default Swap.18
Illustration 5: Synthetic Collaterized Debt Obligation.23
Illustration 6: Cash Flows without a Credit Event.29
Illustration 7: Cash Flows with Credit Event (Physical Settlement).29
Illustration 8: Example for Succession of CDS Reference Entities.36
Illustration 9: Nokia raises funds and hedges credit risk of the Algerian operator.44
Illustration 10: Elad Properties monetizes the lease - sale of its credit risk on Rite Aid.45
Illustration 11: Example of Synthetic Debt Repurchase from Wal-Mart.48
Illustration 12: Distribution of terminal firm value at maturity of debt.58
Illustration 13: Global Loan Defaults from 1996 to 2005.62
Illustration 14: Global Bond Defaults from 1996 to 2005.62
Illustration 15: Default Realization in a Venn diagram.64
Illustration 16: 100% Credit Default Correlation.65
Illustration 17: -100% Credit Default Correlation.66
Illustration 18: 0% Credit Default Correlation.68
Harald Seemann - Applications of Credit Derivatives
Table Index
Table 1: Classification and Evolution of Credit Derivatives.13
Table 2: Example of a Reference Asset.24
Table 3: Average Recovery Rates by Industry.31
Table 4: An example of the effect of diversification on portfolio credit risk.41
Table 5: 5-year Funding Levels.44
Table 6: Credit spread structure of Continental for different maturities.46
Table 7: Balance sheet CDO introduction.50
Table 8: CDO Capital Structure.51
Table 9: Regulatory Capital Position before CDO Transaction.51
Table 10: Regulatory Capital Position in a Traditional CDO.51
Table 11: Regulatory Capital Position in a Synthetic CDO.51
Table 12: Balance sheet CDO Net Capital Savings.52
Table 13: Ongoing Benefit each year from Traditional and Synthetic CDOs.52
Table 14: Balance Sheet CDO Return on Capital.52
Table 15: Simplified Example of Firm Value Model.56
Table 16: EDF versus Ratings agency default measures.56
Table 17: Comparison of Credit Default Swap and Equity Default Swap.61
Table 18: Nth-to-default basket vs. Synthetic CDO.63
Table 19: Sample Basket for a Credit Correlation Product.64
Table 20: Cumulative default probabilities in percent from 1970 - 2003 by Moody's.70
Table 21: Marginal default probabilities in percent from 1970 - 2003 by Moody's.70 |
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| spelling | Seemann, Harald Verfasser (DE-588)13423023X aut Applications of credit derivatives opportunities and risks involved in credit derivatives Harald Seemann Hamburg Diplomica-Verl. 2008 97 S. graph. Darst. 28 cm, 233 gr. txt rdacontent n rdamedia nc rdacarrier Diplomarbeit Zugl.: Regensburg, Fachhochsch., Diplomarbeit, 2007 Derivat <Wertpapier> - Kreditrisiko Kreditderivat (DE-588)7660453-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s DE-604 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3087779&prov=M&dok_var=1&dok_ext=htm Inhaltstext text/html http://www.diplom.de/katalog/arbeit/10842 Ausführliche Beschreibung HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016597468&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Seemann, Harald Applications of credit derivatives opportunities and risks involved in credit derivatives Derivat <Wertpapier> - Kreditrisiko Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4113937-9 |
| title | Applications of credit derivatives opportunities and risks involved in credit derivatives |
| title_auth | Applications of credit derivatives opportunities and risks involved in credit derivatives |
| title_exact_search | Applications of credit derivatives opportunities and risks involved in credit derivatives |
| title_exact_search_txtP | Applications of credit derivatives opportunities and risks involved in credit derivatives |
| title_full | Applications of credit derivatives opportunities and risks involved in credit derivatives Harald Seemann |
| title_fullStr | Applications of credit derivatives opportunities and risks involved in credit derivatives Harald Seemann |
| title_full_unstemmed | Applications of credit derivatives opportunities and risks involved in credit derivatives Harald Seemann |
| title_short | Applications of credit derivatives |
| title_sort | applications of credit derivatives opportunities and risks involved in credit derivatives |
| title_sub | opportunities and risks involved in credit derivatives |
| topic | Derivat <Wertpapier> - Kreditrisiko Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Derivat <Wertpapier> - Kreditrisiko Kreditderivat Hochschulschrift |
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