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]
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Harlow [u.a.]
Prentice Hall Financial Times
2008
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 277 S. graph. Darst. |
| ISBN: | 9780273714859 |
Staff View
MARC
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| 245 | 1 | 0 | |a Mastering credit derivatives |b 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] |c Andrew Kasapis |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Harlow [u.a.] |b Prentice Hall Financial Times |c 2008 | |
| 300 | |a XIV, 277 S. |b graph. Darst. | ||
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| 650 | 4 | |a Credit derivatives | |
| 650 | 4 | |a Credit |x Management | |
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Record in the Search Index
| _version_ | 1804138530741420032 |
|---|---|
| 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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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
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| id | DE-604.BV035251622 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:29:39Z |
| institution | BVB |
| isbn | 9780273714859 |
| language | English |
| lccn | 2008041027 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017057255 |
| oclc_num | 634682025 |
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| physical | XIV, 277 S. graph. Darst. |
| publishDate | 2008 |
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| publisher | Prentice Hall Financial Times |
| record_format | marc |
| 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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