Credit derivatives: applications for risk management, investment and portfolio optimisation
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
London
Risk Books
1998
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 193 S. graph. Darst. |
| ISBN: | 1899332561 1899332618 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035062310 | ||
| 003 | DE-604 | ||
| 005 | 20090821 | ||
| 007 | t | ||
| 008 | 080922s1998 d||| |||| 00||| eng d | ||
| 020 | |a 1899332561 |9 1-89933-256-1 | ||
| 020 | |a 1899332618 |9 1-89933-261-8 | ||
| 035 | |a (OCoLC)40754270 | ||
| 035 | |a (DE-599)BVBBV035062310 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 |a DE-188 | ||
| 082 | 0 | |a 332.632 |2 22 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 245 | 1 | 0 | |a Credit derivatives |b applications for risk management, investment and portfolio optimisation |
| 264 | 1 | |a London |b Risk Books |c 1998 | |
| 300 | |a XI, 193 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Crédit |2 ram | |
| 650 | 7 | |a Défaillance (finances) |2 ram | |
| 650 | 7 | |a Gestion de portefeuille |2 ram | |
| 650 | 7 | |a Gestion du risque |2 ram | |
| 650 | 7 | |a Instruments financiers |2 ram | |
| 650 | 7 | |a Swaps (finances) |2 ram | |
| 650 | 7 | |a Volatilité (finances) |2 ram | |
| 650 | 4 | |a Credit | |
| 650 | 4 | |a Default (Finance) | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Risk management | |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditderivat |0 (DE-588)7660453-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 689 | 0 | 0 | |a Kreditderivat |0 (DE-588)7660453-6 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 1 | 1 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 1 | |5 DE-188 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016730814&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016730814 | ||
Record in the Search Index
| _version_ | 1804138007058448384 |
|---|---|
| adam_text | CONTENTS
Preface v
Contributors
viii
DEFAULT PROTECTION AND CREDIT
PORTFOLIO MANAGEMENT
1
Approaches to Bank Credit Portfolio Diversification:
Credit Derivatives and Me Alternatives
3
W. Robert Allen of Westpac Banking Corporation
2
Hedging with Credit Derivatives: Practical Applications
and Considerations
17
Walter Gontarek of TD Securities
with contributions from Richard Quinn and Jamie Storrow of the British
Bankers Association; David
Geen
and Schuyler K. Henderson of Baker
&
McKenzie;
Robert DeSantes of
Banca
CRT; Tom McNemey, Charles
Colbourne and Karen Becker of TD Securities and Toronto-Dominion Bank
3
Managing Country Risk using Credit Derivatives
39
Mark Gheerbrant of
Rabobank
International
4
Aggregating Market-driven Credit Exposures: A Parameterised
Monte Carlo Approach and Implications for the Use of Credit
Derivatives
53
David M. Rowe and Robert D. Reoch of Bank of America
5
Actively Managing Corporate Credit Risk: New Methodologies
and Instruments for Non-financial Firms
65
Richard Buy, Vincent
Kaminski,
Krishnarao Pinnamaneni and Vasant
Shanbhogue of Enron Corp
INVESTMENT MARKETS, CREDIT-LINKED
SECURITIES AND CREDIT DERIVATIVES
6
Credit Derivatives: Linking Loan Portfolio Management and
Bank Loan Investment Programmes
85
Elliot Asarnow of ING Capital Advisors
7
Total Return Swaps
93
Jessica James and Phyllis Thomas of First Chicago NBD
б
Buying and Selling Credit Risk: A Perspective on Credit-linked
Obligations
105
Arturo
Cifuentes, Isaac Efrat, Jeremy
Gluck
and Eileen Murphy of Moody s
Investors Service
9
Emerging Market Credit Derivatives and Default Estimation:
Volatility, Business Cycle Correlation and Portfolio Diversification
117
David K.A.
Mordecai and Samantha
Kappagoda
of Fitch IBCA,
Inc
and Caxton Corporation
CREDIT MODELLING, TRANSITION
ANALYSIS AND CREDIT DERIVATIVES
10
Rational Modelling of Credit Risk and Credit Derivatives
133
Richard K.
Skora
of
Skora
&
Company Inc.
11
On Rating Transition Analysis and Correlation
147
David Lando
of University of Copenhagen
REGULATORY
TRENDS
AND ISSUES
IN TAXATION
12
Regulatory Developments and Capital Allocation for Credit
Derivatives
159
Matthew Elderfield of International Swaps and Derivatives Association
13
US Federal Income Tax Consequences of Credit Derivatives
Transactions
169
David Z. Nirenberg and Steven L.
Kopp
of Orrick,
Herrington
&
Sutcliffe LLP
Index
191
|
| adam_txt |
CONTENTS
Preface v
Contributors
viii
DEFAULT PROTECTION AND CREDIT
PORTFOLIO MANAGEMENT
1
Approaches to Bank Credit Portfolio Diversification:
Credit Derivatives and Me Alternatives
3
W. Robert Allen of Westpac Banking Corporation
2
Hedging with Credit Derivatives: Practical Applications
and Considerations
17
Walter Gontarek of TD Securities
with contributions from Richard Quinn and Jamie Storrow of the British
Bankers' Association; David
Geen
and Schuyler K. Henderson of Baker
&
McKenzie;
Robert DeSantes of
Banca
CRT; Tom McNemey, Charles
Colbourne and Karen Becker of TD Securities and Toronto-Dominion Bank
3
Managing Country Risk using Credit Derivatives
39
Mark Gheerbrant of
Rabobank
International
4
Aggregating Market-driven Credit Exposures: A Parameterised
Monte Carlo Approach and Implications for the Use of Credit
Derivatives
53
David M. Rowe and Robert D. Reoch of Bank of America
5
Actively Managing Corporate Credit Risk: New Methodologies
and Instruments for Non-financial Firms
65
Richard Buy, Vincent
Kaminski,
Krishnarao Pinnamaneni and Vasant
Shanbhogue of Enron Corp
INVESTMENT MARKETS, CREDIT-LINKED
SECURITIES AND CREDIT DERIVATIVES
6
Credit Derivatives: Linking Loan Portfolio Management and
Bank Loan Investment Programmes
85
Elliot Asarnow of ING Capital Advisors
7
Total Return Swaps
93
Jessica James and Phyllis Thomas of First Chicago NBD
б
Buying and Selling Credit Risk: A Perspective on Credit-linked
Obligations
105
Arturo
Cifuentes, Isaac Efrat, Jeremy
Gluck
and Eileen Murphy of Moody's
Investors Service
9
Emerging Market Credit Derivatives and Default Estimation:
Volatility, Business Cycle Correlation and Portfolio Diversification
117
David K.A.
Mordecai and Samantha
Kappagoda
of Fitch IBCA,
Inc
and Caxton Corporation
CREDIT MODELLING, TRANSITION
ANALYSIS AND CREDIT DERIVATIVES
10
Rational Modelling of Credit Risk and Credit Derivatives
133
Richard K.
Skora
of
Skora
&
Company Inc.
11
On Rating Transition Analysis and Correlation
147
David Lando
of University of Copenhagen
REGULATORY
TRENDS
AND ISSUES
IN TAXATION
12
Regulatory Developments and Capital Allocation for Credit
Derivatives
159
Matthew Elderfield of International Swaps and Derivatives Association
13
US Federal Income Tax Consequences of Credit Derivatives
Transactions
169
David Z. Nirenberg and Steven L.
Kopp
of Orrick,
Herrington
&
Sutcliffe LLP
Index
191 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| building | Verbundindex |
| bvnumber | BV035062310 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)40754270 (DE-599)BVBBV035062310 |
| dewey-full | 332.632 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632 |
| dewey-search | 332.632 |
| dewey-sort | 3332.632 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02071nam a2200553 c 4500</leader><controlfield tag="001">BV035062310</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20090821 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080922s1998 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1899332561</subfield><subfield code="9">1-89933-256-1</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1899332618</subfield><subfield code="9">1-89933-261-8</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)40754270</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035062310</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.632</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Credit derivatives</subfield><subfield code="b">applications for risk management, investment and portfolio optimisation</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">London</subfield><subfield code="b">Risk Books</subfield><subfield code="c">1998</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XI, 193 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Crédit</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Défaillance (finances)</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Gestion de portefeuille</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Gestion du risque</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Instruments financiers</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Swaps (finances)</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Volatilité (finances)</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Credit</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Default (Finance)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditderivat</subfield><subfield code="0">(DE-588)7660453-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kreditderivat</subfield><subfield code="0">(DE-588)7660453-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016730814&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016730814</subfield></datafield></record></collection> |
| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV035062310 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:00:55Z |
| indexdate | 2024-07-09T21:21:20Z |
| institution | BVB |
| isbn | 1899332561 1899332618 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016730814 |
| oclc_num | 40754270 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-188 |
| physical | XI, 193 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Risk Books |
| record_format | marc |
| spelling | Credit derivatives applications for risk management, investment and portfolio optimisation London Risk Books 1998 XI, 193 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Crédit ram Défaillance (finances) ram Gestion de portefeuille ram Gestion du risque ram Instruments financiers ram Swaps (finances) ram Volatilité (finances) ram Credit Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditderivat (DE-588)7660453-6 s Risikomanagement (DE-588)4121590-4 s DE-604 Kreditrisiko (DE-588)4114309-7 s Derivat Wertpapier (DE-588)4381572-8 s DE-188 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016730814&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Credit derivatives applications for risk management, investment and portfolio optimisation Crédit ram Défaillance (finances) ram Gestion de portefeuille ram Gestion du risque ram Instruments financiers ram Swaps (finances) ram Volatilité (finances) ram Credit Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4121590-4 (DE-588)7660453-6 (DE-588)4114309-7 (DE-588)4143413-4 |
| title | Credit derivatives applications for risk management, investment and portfolio optimisation |
| title_auth | Credit derivatives applications for risk management, investment and portfolio optimisation |
| title_exact_search | Credit derivatives applications for risk management, investment and portfolio optimisation |
| title_exact_search_txtP | Credit derivatives applications for risk management, investment and portfolio optimisation |
| title_full | Credit derivatives applications for risk management, investment and portfolio optimisation |
| title_fullStr | Credit derivatives applications for risk management, investment and portfolio optimisation |
| title_full_unstemmed | Credit derivatives applications for risk management, investment and portfolio optimisation |
| title_short | Credit derivatives |
| title_sort | credit derivatives applications for risk management investment and portfolio optimisation |
| title_sub | applications for risk management, investment and portfolio optimisation |
| topic | Crédit ram Défaillance (finances) ram Gestion de portefeuille ram Gestion du risque ram Instruments financiers ram Swaps (finances) ram Volatilité (finances) ram Credit Default (Finance) Derivative securities Risk management Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Crédit Défaillance (finances) Gestion de portefeuille Gestion du risque Instruments financiers Swaps (finances) Volatilité (finances) Credit Default (Finance) Derivative securities Risk management Derivat Wertpapier Risikomanagement Kreditderivat Kreditrisiko Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016730814&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |