Verfügbarkeit: Mastering credit derivatives

Mastering credit derivatives: a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence]

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Bibliographische Detailangaben
1. Verfasser:	Kasapis, Andrew (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Harlow [u.a.] Prentice Hall Financial Times 2008
Ausgabe:	2. ed.
Schlagworte:	Credit derivatives Credit > Management Kreditderivat
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	XIV, 277 S. graph. Darst.
ISBN:	9780273714859

Internformat

MARC


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Datensatz im Suchindex

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adam_text	Contents Preface xi Publisher s acknowledgements xiv 1 Introduction 1 What s in a name? 2 What are credit derivatives? 3 How big is the market? 3 Who is involved? 6 Evolution of the market 10 2 Credit derivative instruments and applications 13 Credit derivatives products 14 Trades using credit derivatives 20 Risk measures for CDS 23 Comparing bond spreads and CDS prices 24 Basket default swaps 29 Synthetic CDOs 35 Summary: application of credit derivatives 41 3 Pricing a CDS and the cash bond basis 43 Credit modelling 44 Calibrating recovery rates 47 A practical approach to pricing a CDS 49 Using default swaps to make a credit curve 55 Linking the credit default swap and cash markets 56 Cash and CDS basis 60 Bond spread measures and the CDS—bond basis definition 62 Basis drivers 67 Summary: credit default swaps compared with bonds 74 Contents 4 Credit derivative documentation and regulations 79 Documentation 80 Infrastructure and ISDA s role 81 Restructuring: the 2003 definitions 83 Other considerations 87 Bank regulation of credit derivatives 89 5 Tranched indices 97 Credit default swap indices 98 Determining the upfront payment 103 Impact of defaults on index cashflows 103 Tranches of standard default swap indices 104 Characteristics of benchmark tranches 105 Investment strategies with credit derivative indices 108 Investors 112 6 What is correlation? 113 What do we mean by correlation? 114 Correlation in structured credit markets 115 Observing default correlation 117 Valuation in structured credit markets 120 Getting to a portfolio loss distribution 121 Copula functions 122 Correlation as a relative value metric (base correlation) 123 Base correlation 125 Practical use of correlation 126 Analysing a portfolio of credit risk 129 Modelling correlated defaults 129 Simulating correlated defaults with a copula 131 What is correlation missing? 136 A summary of CDO pricing 137 Correlation trading rules of thumb 138 Copula drawbacks 138 7 First-to-default (FTD) baskets 141 Basket default swap mechanics 142 Investor motivation 144 Contents Mergers and FTD baskets 145 Second-through-fifth default baskets 148 Funded baskets 149 8 CashCDOs 151 CDO terminology 153 Assets, tranches, purposes and credit structures 153 The à la carte CDO menu 157 How do cash CDOs work in practice? 160 Cash CDOs: a taxonomy 165 Structural features and performance tests in cash CDOs 167 Understanding CDO equity returns 174 Understanding CDO debt returns 174 Details of a cash CDO s structure 175 9 Synthetic CDOs 179 What are synthetic CDOs? 180 Example of a fully unfunded synthetic CDO 185 Example of an AAA reference portfolio CDO 187 Case studies of managed synthetic CDOs 188 Single-tranche CDOs (STCDOs) 190 CSO trade opportunities 200 Synthetic CDO structures 201 Analytical challenges in modelling synthetic CDOs 209 The ABCs of CDOs - squared 211 10 Understanding tranche sensitivity 215 Introduction 216 Tranches as options on default 217 Sensitivity to spread changes ( delta ) 218 I — Gamma : sensitivity to spread distribution changes 219 Delta migration 221 M — Gamma : convexity 224 Jump-to-default sensitivity 226 Theta : time decay 228 Rho : sensitivity to correlation changes 229 Conclusion 232 Contents 11 Innovation, the credit crisis and the future 233 Innovation outstrips risk management 234 Subprime mortgage crisis of 2007 234 Credit crisis events in context 244 Action taken 251 Subprime credit crunch: a summary 251 Subprime and credit crunch debate 252 How regulators and banks improve risk management 257 Notes and references 259 Glossary 263 Index 269
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discipline	Wirtschaftswissenschaften
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spelling	Kasapis, Andrew Verfasser aut Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence] Andrew Kasapis 2. ed. Harlow [u.a.] Prentice Hall Financial Times 2008 XIV, 277 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Credit derivatives Credit Management Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditderivat (DE-588)7660453-6 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017057255&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Kasapis, Andrew Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence] Credit derivatives Credit Management Kreditderivat (DE-588)7660453-6 gnd
subject_GND	(DE-588)7660453-6
title	Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence]
title_auth	Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence]
title_exact_search	Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence]
title_full	Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence] Andrew Kasapis
title_fullStr	Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence] Andrew Kasapis
title_full_unstemmed	Mastering credit derivatives a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence] Andrew Kasapis
title_short	Mastering credit derivatives
title_sort	mastering credit derivatives a step by step guide to credit derivatives and structured credit makes the concepts instruments and products of complex derivatives understandable focusing on real financial markets rather than theory gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence
title_sub	a step-by-step guide to credit derivatives and structured credit ; [makes the concepts, instruments and products of complex derivatives understandable, focusing on real financial markets rather than theory ; gives you the ability to manipulate and apply the techniques relevant to your marketplace with confidence]
topic	Credit derivatives Credit Management Kreditderivat (DE-588)7660453-6 gnd
topic_facet	Credit derivatives Credit Management Kreditderivat
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017057255&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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