Holdings: Credit derivatives and structured credit trading

Credit derivatives and structured credit trading:

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Bibliographic Details
Main Author:	Kothari, Vinod (Author)
Format:	Book
Language:	English
Published:	Singapore [u.a.] Wiley 2009
Edition:	Revised ed.
Series:	Wiley finance
Subjects:	Credit derivatives Credit / Management Kreditwesen Kreditderivat
Online Access:	Cover Inhaltsverzeichnis
Physical Description:	XXVIII, 482 S. graph. Darst. 1 CD-ROM (12 cm)
ISBN:	9780470822920

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adam_text	CONTENTS Foreword xxv Preface xxvii PART 1 MARKET, INSTRUMENTS AND MOTIVATIONS Chapter 1: Credit derivatives: Structure, evolution, motivations, and economics 3 Credit risk: The challenge of our times 4 Derivatives: The building block of credit derivatives 5 Securitization: The other building block 5 Instruments of credit risk transfer 6 Meaning of credit derivatives 6 What is a credit derivative? 6 A definition of credit derivatives 7 A quick guide to basic jargon 7 A quick example 9 Synthetic lending 10 Reasons for trade in credit risk 10 The elements of a credit derivative 11 Bilateral deals and capital market deals 11 Reference asset or portfolio 12 Structured portfolio trade 12 Basket trades 13 Index-based credit derivative trades 13 Credit default swaps (CDS) on asset-backed securities 13 Loan-only CDS 14 Protection buyer 14 Protection seller 14 Funded and unfunded credit derivatives 15 Credit event 15 Notional value 16 Premium 16 Tenure 16 Loss computation 17 Threshold risk or loss materiality provisions 17 Cash and physical settlement 17 Deliverable asset 18 ISDA documentation 18 viii Contents Quick introduction to the types of credit derivatives 19 Credit default swap 19 Total return swap 19 Credit linked notes 20 Credit spread options 20 Portfolio default swaps 21 Index trades 21 Credit derivatives and traditional financial guarantee products 21 Credit derivatives and guarantees 22 Credit derivatives and credit insurance 22 Credit derivatives and loan assignments 22 Credit derivatives and securitization 24 Motivations 24 Motivations for the protection buyer 24 Reducing regulatory capital 24 Economic capital relief 25 Offers easier alternative to securitization 25 Reduction of credit concentration 26 Better portfolio management 26 Solving cross-border problem 27 Enhancing RARoC 27 Trading motive 27 Motivations for the protection seller 27 Synthetic lending 28 Arbitraging opportunities 29 Yield enhancement 30 Risk diversification 30 Balancing the risk balance sheet 30 Far fewer expenses 31 Resolves problems of availabHity by cloning cash assets 31 Motivations for the traders and re-packagers 31 Economic impact of the credit derivative market 32 The positive side 32 Financial stability 32 Banks to focus on credit asset creation 33 Reducing the cost of credit 33 The supply of bank credit increases 34 Effective risk management by diffusion of risk 34 Securitization results into disintermediation: Credit derivatives reinforces the role of commercial banks 36 Credit derivatives and pricing of credit risks 37 The negative side 37 Lack of transparency in transfer of risks 37 Cross-sector risk transfers 38 Contents Transfer of risks to the lesser informed 39 Increased leverage 39 Credit derivatives promote riskier lending 39 Insider trading 40 Unconfirmed trades and operational problems 41 Credit derivatives have not been tested in adverse market conditions 41 Chapter 2: Credit derivatives: Market, evolution, and current status 47 Evolution of credit derivatives 47 Credit derivatives and secondary markets in loans 48 The emergence of credit-linked notes (CLNs) 49 Four stages of development 49 Pre- 1997: Early period of skepticism 50 The 1997 and 1998 crises: Credit derivatives get a boost 51 Enron, WorldCom, Argentina 53 Standardization of CDS 53 Advent of index trading 54 Advent of credit derivative product companies 54 Synthetic balance sheet securitization 55 Current state of the market 55 Growth in credit derivatives relative to other OTC market segments 55 Major centers of credit derivatives activity 58 Major market players 58 Protection buyers 58 Protection sellers 58 Banks 60 Concentric nature of the credit derivatives market 61 Trading versus hedging motive 63 Insurance companies 64 Financial guarantors 64 Hedge funds 64 Dealers 65 Hedge funds and credit derivatives 65 Growth of the hedge fund industry 66 The advent of credit strategies hedge funds 66 Role of hedge rands and credit derivatives 68 Hedge funds as suppliers of equity to credit derivatives 69 Credit derivatives losses and hedge funds 69 Implications of the intensive hedge funds role 71 Major products 72 Reference risks: sovereign versus corporate 72 Credit quality of reference entities 74 Physical versus cash settlement 76 Contents PART 2 SINGLE-NAME INSRTUMENTS Chapter 3: Credit default swaps 81 Meaning of CDS 81 Summary of terms 81 Numerical illustration 83 Main terms of the CDS 83 Reference obligation 83 Notional value 84 Premium 84 Credit events 85 ISDA s credit events 85 1 Bankruptcy 85 2 Obligation acceleration 86 3 Obligation default 86 4 Failure to pay 87 5 Repudiation/Moratorium 87 6 Restructuring 87 Common credit events 87 Notice of credit event 88 Terms of settlement 89 Physical settlement 89 Deliverable obligation 89 Cash settlement 89 Valuation of the defaulted obligation 89 Threshold amount 89 Collateral provisions 90 Funded CDS 90 How do the parties to a CDS encash value 91 Impact of time decay on mark-to-market valuation 92 CDS on sovereign names 92 Basket default swap 92 Portfolio CDS 94 Structured portfolio default swap 96 Binary swaps 98 Chapter 4: Total rate of return swaps 99 Meaning of TROR swaps 99 CDS and TROR swaps 100 Impact of a TROR swap 101 Terms of a TROR swap 101 Reference asset 101 Credit events 102 Settlement methods 102 Examples of applications of TRSs 102 Contents Advantages of a TRS 103 Creates off-balance sheet synthetic assets 103 Avoids problems of availability 103 Avoids regulatory barriers in owning the target asset 103 Provides very high leverage 103 Avoids regulatory barriers in giving a traditional loan 103 Provides better security interest for the synthetic lender 103 Index-based TRSs 104 Structured TRS 104 TROR swaps and equity swaps 104 TROR swaps and property derivatives 104 TRSs and camouflaged lending transactions 105 Chapter 5: Credit-linked notes 107 Meaning of a CLN 107 Distinctive features of CLNs 108 Structured risk transfer through CLNs 109 CLNs issued by SPVs 109 Self-referenced CLNs 111 Chapter 6: Credit default swaps on asset-backed securities and derivatives exposures 113 Need for CDSs on asset-backed securities 113 Development of CDS on ABS 113 Major differences between CDS of ABS and corporate debt 114 Documentation templates for different structured finance products 115 Special features in the documentation templates 115 Notional value of the swap 116 Credit events in the case of ABS 117 Credit events in the case of MBS — physical or cash settlement terms 117 Meaning of Failure to Pay 117 Failure to Pay during the term of the transaction 117 Failure to Pay upon final maturity 118 Meaning of loss event 118 Bankruptcy as a credit event in case of CDS of ABS 118 Rating downgrade to distressed level 119 Restructuring 119 Credit events under the PAUG terms 119 Physical delivery option under PAUG 119 Two modes of settlement: PAUG and traditional 120 Payments by the protection buyer 120 Payments made by the protection seller 121 Write-down 121 Principal shortfall 121 Interest shortfall 121 Contents CDSofCDOs 122 Credit events in case of CDS of CDOs 122 Contingent CDS 122 Notional amount of the transaction 123 Mark-to-market value 123 Interim payments 124 Credit events 124 Chapter 7: Loan-only CDS 125 Meaning of leveraged loans 125 Market for leveraged loans 125 The LCDS market 126 Motivations of parties 127 Motivations of the protection buyer 127 Motivations of the protection seller 127 Distinctive features of LCDS as compared to vanilla CDS 128 European and US LCDS 128 Secured loans 128 Physical settlement 128 Relevant secured list 129 Auction protocol 129 Cancellability when no deliverables of required seniority exist 129 ISDA documentation for LCDS 130 LCDS basis 130 Reasons for basis spreads (LCDS: leveraged loans) 130 Reasons for basis spreads (LCDS: CDS) 130 LCDX 131 iTraxxLevX 131 Chapter 8: Credit derivatives options and volatility trades 133 Credit spread trades 133 Credit default swaptions 133 Payer option 134 Receiver options 136 Out of money swaptions 140 Combination trades 140 Straddle 140 Strangle 141 Butterfly 143 Swaptions on indices 145 Knock out feature 145 Constant-to-maturity CDS 145 Distinctive Features of CMCDS 147 Genesis of CMCDS 147 Uses of CMCDS 147 Capped CMCDS 148 Index CMCDS 148 Contents Xiii Chapter 9: Equity default swaps, recovery swaps and other exotic products 151 Equity default swaps 151 Synthetic position on various elements in the capital structure 151 The intuitive idea behind equity default swaps 152 Emergence of equity default swaps 153 Preferred default swap 153 Recovery swaps 153 Combining a plain vanilla CDS with a digital CDS 154 Recovery swaps 154 Market in recovery swaps 155 PART 3 PORTFOLIO PRODUCTS Chapter 10: Portfolio credit derivatives and introduction to structured credit trading 159 Portfolio credit derivatives vs. single-name credit derivatives 159 Nature of the tranches 160 Subordination and credit enhancement 160 Attachment and detachment points 161 Leverage 161 Tranching: the essence of structured credit trading 161 Why a portfolio for tranches 161 Key features of portfolio formulation 161 Managed versus index/ index- tracking transactions 162 Quality of credits 162 Diversification 162 Number of credits 162 Number and sizing of the tranches 163 Range of structured credit products 163 Funded and unfunded transactions 164 Special purpose vehicles (SPVs) 164 Chapter 11: Introduction to collateralized debt obligations 167 Terminology: CDO, CBO, and CLO 167 Types of CDOs 168 Cash and synthetic CDOs 168 Balance sheet and arbitrage CDOs 169 CDO types based on collateral 170 Par value and market value-based structures 170 Managed and static pool structures 171 Fully ramped, and to-be-ramped-up structure 171 Typical structure of a CDO 171 Basic economic drivers of CDOs 172 CDO Market and the Health of Banking 175 Growth of the CDO market 175 The spurt and spike in CDO activity in 2006 and 2007 176 CDO market trends 177 xiv Contents Balance sheet CDOs 177 Traditional, cash CDOs 178 The creation of a balance sheet CDO 178 Underlying assets 179 Diversity 179 Reinvestment period 179 Credit enhancement structure 180 Structural tests 180 Synthetic CDOs 180 The creation of a synthetic CDO 180 Advantages of synthetic CDOs over cash CDOs 182 Alleviates problems related to true sale 183 Arbitrage CDOs 186 Arbitrage cash CDOs 187 Legal structure 188 Underlying assets 188 Reinvestment period 188 Credit-enhancement structure 189 Illustration of potential returns from arbitrage CDOs 189 Arbitrage synthetic CDOs 189 Creating an arbitrage synthetic CDO 190 Measures of pool quality 190 Asset quality tests 191 Weighted average rating factor 191 Minimum and maximum weighted average coupon 191 Diversity tests 191 Concentration limits 191 Diversity score 192 Asset and income coverage 192 Over-collateralization test 192 Interest coverage test 194 Ramp-up period 195 The CDO manager 195 Qualities of the CDO manager 195 Balancing between equity investors and debt investors 197 The CDO manager s fees 198 Resecuritization or structured finance CDOs 198 Growth of structured product CDOs 198 Assets of structured finance CDOs 199 Collateral and structural risks in CDO investing 199 Correlation risk 199 Interest rate and basis mismatch 200 Cross-currency risk 200 Liquidity risk 200 Ramp-up risks 201 Contents XV Reinvestment nsks during the revolving period 201 Lack of granularity 201 Asset risks 202 Chapter 12: Index trades 203 Reasons for popularity of index trades 203 Development of the index trades 205 Tranche trading 206 Index options and tranche options 206 iTraxx Europe 207 iTraxx Europe Investment grade 207 iTraxx HiVol 207 iTraxx Crossover 207 Price fixings in iTraxx 208 iTraxx Asia 209 iTraxx total return indices 209 LevX 209 Eurex iTraxx credit futures 209 Advantages of index-traded futures over OTC index trades 209 Manner of computing iTraxx futures prices 210 Treatment of default 210 CDX 210 ABX 211 Tranches 212 Composition of the index and settlements 212 CMBX 212 LCDX 213 TABX 213 Other indices 214 Index spreads and intrinsic spreads 214 Chapter 13: Single-tranche synthetic CDOs, CPDOs, and other CDO innovations 217 Single-tranche synthetic CDOs 217 Delta hedging 219 The concept of PV01 220 Why would structurers prefer single-tranche structures 220 Distinction between a traditional CDO and STCDO 220 Credit CPPI CDO 220 Constant proportion portfolio insurance 221 Basic idea of principal protection 221 Portfolio insurance 222 Illustration of constant proportion portfolio insurance 222 Enter credit CPPI 224 Contents CPDOs 225 The structure of CPDOs 225 Impact of leverage 227 CPDOs: from boom to bust 227 Leveraged super senior CDOs 227 The transaction structure of an LSS CDO 227 Performance of leveraged super senior CDOs 228 Case study: STARTS leveraged super senior CDO 228 Long/short CDO 229 Collateralized commodity obligations 230 Case study: Barclays CCO transaction 230 Chapter 14: CDO case studies 233 Balance sheet synthetic transactions 233 DBS Bank s Aleo 1 233 Transaction structure 234 The SPV 234 The notes 234 Risk transfer 235 Reference portfolio 236 The CDS 236 Investment of the collateral 237 Interest rate swap and put option 237 Economics of the transaction to DBS Bank 238 Economic capital relief 239 Basle II and the Aleo 1 transaction 239 CAST 1999-1 Non-SPV structure 239 Features of CAST 1999-1 240 Principal protection to subordinate class 241 Investor interest 241 CAST 2000-1 242 Promise program by KfW Germany 243 Promise A 2002-1 244 Transaction structure 244 The notes and Schuldscheine 245 The reference portfolio 246 Loss structure 246 Amortization of the notes: 246 Promise-1 2002-1 247 Later Promise transactions 248 Standard Chartered Bank s START series and Sealane (Trade Finance) transaction 249 Notes 249 Portfolio 249 Trade Finance CLO 249 Contents xvii The notes 249 The portfolio 250 Synthetic credit asset securitization: SMART from Australia 250 Synthetic versus cash transfer of lease receivables 250 Credit protection 251 Asset structure 252 ANZ s Resonance Funding 252 Jazz synthetic arbitrage CDO 253 Hybrid between cash and synthetic structure 253 All that Jazz it has 254 Synthetic versus cash liabilities 254 The collateral manager 255 Liquidity facility 255 Over-collateralization and interest cover tests 256 Robeco arbitrage synthetic CDO 257 White Oak synthetic CDO of structured obligations 258 The reference portfolio 259 Credit events 259 Funding 259 Regulatory arbitrage? 259 Chapter 15: Credit derivative product companies 263 Development of rating-oriented vehicles 263 Derivative product companies: A general introduction 264 Market risk 2r>4 Credit risk 264 Workout risk 2f)fi Case study of DPCs: Lehman s subsidiaries 265 Lehman Brothers Derivative Products 265 Lehman Brothers Financial Products 266 Credit derivative product companies: Development 266 Typical structure of CDPCs 267 Rating agencies conditions for CDPCs 268 Constitutional and legal structure 2i>9 Operating modes 270 Case study: Primus Financial 270 Portfolio 270 Financiais of Primus 271 Quadrant Structured Credit Products 271 Asset Portfolio 272 Operating modes 272 Suspension mode Winding-up mode 273 Capital model 273 Cash flow waterfall 273 xviii Contents PART 4 PRICING AND VALUATION OF CREDIT DERIVATIVES Chapter 16: Approaches to quantification of credit risk 279 Credit risk: semi analytic approaches 280 Financial statement analysis 280 Multivariate models 280 Altaian s Z-score 280 Probit and Logit models 281 Option-theoretic models 282 Merton model 282 Foundation of the Merton model 283 Critical factors in bankruptcy risk 283 Value of assets 284 The Merton formula for probability of default 286 Implementing the Merton formula 286 Adding simulation with the Merton formula 287 The KMV model 287 Measuring default probability 288 Asset value and volatility 288 Computing the distance to default 289 Computing default probability 290 Intensity or hazard rate models 290 Back-computing implied probability of default from the market 290 Pricing of credit risk in a defaultable bond 290 Computing probability of default from the market spreads 292 Chapter 17: Pricing of a single name credit derivative 293 Establishing multi-period probabilities of default 293 Working with probability of default 293 Getting the probabilities of default from credit spread curve 294 Pricing of a credit default swap 295 Approach to pricing 295 Defining the cash inflows and outflows 295 Expected value of the inflow 296 Expected value of the outflow 297 CDS Price 297 Introducing details 297 Pricing of a derivative vs. pricing of a bond 298 Relevance of recovery rate 299 Valuation of a credit default swap 299 Value of upfront payment in a CDS 302 Chapter 18: Pricing of a portfolio credit default swap 303 Basic principles of pricing of portfolio default swaps 303 Meaning of a portfolio 303 A portfolio without correlation 304 Contents XÍX Binomial distribution 305 Tranching of the risk 306 Pricing of the tranches 307 Simulation method to derive probability distribution 308 Comparing the results of binomial and simulation approaches 309 Introducing different exposures and different recovery rates 310 Introducing correlation 311 Incorporating correlation in simulation approach 311 Impact of correlation on the shape of the probability distribution 313 Correlation and tranche pricing 313 Market implied correlation and correlation trading 315 PART 5 LEGAL, REGULATIORY, OPERATIONAL, TAX AND ACCOUNTING ASPECTS Chapter 19: Legal aspects of credit derivatives 319 Legal nature of credit derivatives 319 Credit derivatives and contingent contracts 320 Credit derivatives and actionable claims 320 Contract of guarantee or surety 320 Contract of indemnity 324 Credit derivatives and bank letters of credit 325 Credit derivatives and credit insurance contracts 325 Robin Pott s opinion on credit derivatives and insurance 327 Are they gaming, gambling or wager contracts? 327 Are they securities? 328 Are they investment contracts? 328 Bilateral contract or transferable 329 Credit derivatives and commodities 330 Enforceability of credit derivative contracts 331 Regulatory enforceability of the derivative contract 331 Enforceability of the reference obligation 331 Whether credit event? 332 Meaning of different credit events 332 Bankruptcy 333 (a) Dissolution 333 (b) Insolvency 333 (c) Arrangement or composition with creditors 334 (d) Institution of bankruptcy or winding up proceedings 334 (e) Winding-up resolution 335 (f) Administration, receivership, and so on 335 (g) Foreclosure action by creditors 335 (h) Analogous proceedings 336 Obligáton acceleration 336 Obligation default 336 Failure to pay 337 Contents Repudiation/moratorium 337 Restructuring 338 More than one credit event 339 Legal disputes on credit derivatives 339 Deliverable obligations 339 Service of notices and physical delivery 340 Demerger and the meaning of the successor entity 340 Fraud allegations 341 Significance of writing proper legal names of reference entities 341 Derivatives-related regulation applicable to credit derivatives 342 General bar on derivatives 342 Commodity futures law in the United States 343 Exemption to OTC derivatives 343 Commodity Futures Modernization Law 344 Permission for trading in credit futures on exchanges 345 Legal nature of total return swaps 346 Legal nature of credit-linked notes 346 Credit derivatives: Legal authority for banks 347 Whether a part of banking business 347 Whether banks can be protection buyers 348 Whether banks can be protection sellers 348 Legal authority of a party to enter into a derivative 348 Legal position of netting rights 349 Derivatives trades and need for netting 350 Bankruptcy laws and derivative contracts: 350 Bankruptcy Code: a safe harbor to credit derivatives 351 Early bankruptcy safe harbor in the United States 351 Financial Contract Netting Improvement law 352 The Bankruptcy Reform Act 2005 353 Revised definition of swap agreements 353 Definition of financial participant 354 Definition of master netting agreement 354 Power to terminate under section 561 355 Amendment of automatic stay provisions 355 Collateral rights 356 General provisions relating to collateral 356 Collateral rights in bankruptcy 357 UK insolvency law and netting 357 EU law on collateral and netting 358 Netting in other countries 358 Assignment and novation 358 Choice of law 359 Restructuring credit event 360 Conseco restructuring event: 360 Argentina 361 Xerox 361 Goodyear 361 Marconi 361 Contents xxi Modified restructuring definition 362 Modified Modified Restructuring 363 Restructuring practices 364 Chapter 20: Documentation for credit derivatives 365 Overview of derivatives documentation 365 Legal impact of master agreements 366 Key features of ISDA Master Agreement 366 Conditions precedent 367 Netting 367 Grossing up for withholding taxes 367 Representations and warranties of both the parties 367 Mutual covenants on compliances 368 Events of default 368 Failure to pay 368 Breach of agreement 368 Credit support default 368 Misrepresentation 368 Default under specified transactions and cross default 368 Bankruptcy 368 Merger without assumption 369 Termination events 369 Illegality 369 Tax event and tax event upon merger 369 Credit event upon merger 369 Consequences of events of default 369 Consequences of termination events 369 Early termination 370 Early termination payments 370 Choice of jurisdiction 370 ISDA documentation for credit derivatives 371 Confirmation 371 Stand-alone confirmation 371 Opening paragraphs of the Confirmation 371 General terms of the Confirmation 372 Financial terms 373 Notice requirements 373 Credit events 374 Obligations and obligation characteristics 374 Settlement terms 375 Master Confirmation format 378 Physical settlement matrix 378 Documents in case of specific credit derivatives 378 Novation protocol 378 Credit support agreement 379 ХХЇІ Contents Chapter 21: Taxation of credit derivatives 381 The tax basis of credit derivatives 381 Nature of credit derivatives from tax viewpoint 382 Guarantee 382 Insurance 382 Notional principal contracts 383 Option contracts 383 Key issues in taxation of CDSs 383 Taxation of the protection buyer 384 Integration with the reference obligation 384 Option contract treatment 384 Notional principal contract 385 Meaning of notional principal contracts 385 Are credit derivatives notional principal contracts? 386 Hedge tax rules applicable to notional principal contracts 386 No hedge tax accounting for NPCs 386 TROR swaps 387 Is it a case of constructive transfer of the asset? 387 Taxation of CLNs 388 Taxation of the protection seller 388 Mark-to-market rules 388 Book/tax conformity and safe harbor rules 389 Tax treatment in other countries 390 Taxation of derivative transactions in UK 390 Taxation of CLNs 391 Tax treatment of closeout settlement 391 Chapter 22: Accounting for credit derivatives 393 Whether derivatives accounting standards applicable? 393 The meaning of a derivative 393 Physical settlement deals 394 CDSs and financial guarantees 394 Total rate of return swap 397 Credit-linked note 398 Basics of derivative accounting rules 398 Basics of accounting for financial instruments 398 Basics of hedge accounting 399 Why and when hedge accounting? 400 Impact of hedge accounting 400 Conditions for hedge accounting 400 Fair value hedge accounting 401 Cashflow hedge accounting 401 Accounting for CDSs 402 If the CDS is a financial guarantee contract or credit insurance 402 If the CDS is not merely a financial guarantee contract 402 Contents xxiii Accounting in the books of the protection buyer 403 No hedge accounting 403 Hedge Accounting 403 Fair value hedge 403 Cashflow hedge 404 Examples of CDS accounting in the books of a protection buyer 404 Accounting in the books of the protection seller 406 Examples 406 Accounting for TROR swap 407 Books of the protection buyer 407 Example 408 Books of the protection seller 408 Accounting for a CLN 408 Separation of embedded derivative 408 Books of the protection buyer 409 Books of the protection seller 409 Example 410 Valuation of credit derivatives 410 Chapter 23: Regulatory capital and other regulations on credit derivatives 413 Evolution of regulations 413 US supervisory guidance of 1996 414 Guarantee-like treatment 414 Examiner-determined treatment for the protection buyer 415 Dealing with structured credit risk transfers: Guidelines of 1999 415 The FSA UK s guidelines of 1998 416 Basel II and credit derivatives 416 Basic approach of Basel II 416 Credit risk, market risk and operational risk 417 Three approaches to risk assessment 417 Basic approach on credit derivatives: Credit risk mitigation 419 General conditions for capital relief in case of credit derivatives and guarantees 419 Operational requirements for credit derivatives 420 General rules for capital relief 420 Computation of the risk weights 421 Substitution approach 421 Tranched cover 421 Maturity mismatches 421 Risk weights in case of the protection seller 422 Basket default swaps 422 Treatment of first-to-default protection 422 Treatment in case of second-to-default protection 422 XXlw Contents Treatment in case of IRB approaches 422 Trading book treatment 423 Second pillar: Capital charge for residual risk 423 Chapter 24: Operational issues 425 Credit derivatives procedures 425 Master Agreements 427 How trade is done 428 Confirmations 428 Trade information warehouse 428 Short form and long form confirmation 429 Confirmation options: electronic matching, centralized counterparty 430 Outsourcing of backroom operations 430 Centralized clearing 430 Electronic trade matching services 430 Netting of payments and centralized clearing services 431 Assignments and novations 431 The operational risk issue 432 Growing number of trades 432 Trade capture errors and rebooking of trades 432 The problem of unconfirmed trades 433 Regulatory intervention on unconfirmed trades 433 Chapter 25: Credit derivatives terminology 435 Index 463
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isbn	9780470822920
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-017715598
oclc_num	226356067
open_access_boolean
owner	DE-945 DE-355 DE-BY-UBR DE-92
owner_facet	DE-945 DE-355 DE-BY-UBR DE-92
physical	XXVIII, 482 S. graph. Darst. 1 CD-ROM (12 cm)
publishDate	2009
publishDateSearch	2009
publishDateSort	2009
publisher	Wiley
record_format	marc
series2	Wiley finance
spelling	Kothari, Vinod Verfasser aut Credit derivatives and structured credit trading Vinod Kothari Revised ed. Singapore [u.a.] Wiley 2009 XXVIII, 482 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Wiley finance Credit derivatives Credit / Management Kreditwesen (DE-588)4032950-1 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditwesen (DE-588)4032950-1 s Kreditderivat (DE-588)7660453-6 s b DE-604 DE-576;wiley image/jpeg http://swbplus.bsz-bw.de/bsz307648109cov.htm 20090618194219 Cover Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017715598&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Kothari, Vinod Credit derivatives and structured credit trading Credit derivatives Credit / Management Kreditwesen (DE-588)4032950-1 gnd Kreditderivat (DE-588)7660453-6 gnd
subject_GND	(DE-588)4032950-1 (DE-588)7660453-6
title	Credit derivatives and structured credit trading
title_auth	Credit derivatives and structured credit trading
title_exact_search	Credit derivatives and structured credit trading
title_full	Credit derivatives and structured credit trading Vinod Kothari
title_fullStr	Credit derivatives and structured credit trading Vinod Kothari
title_full_unstemmed	Credit derivatives and structured credit trading Vinod Kothari
title_short	Credit derivatives and structured credit trading
title_sort	credit derivatives and structured credit trading
topic	Credit derivatives Credit / Management Kreditwesen (DE-588)4032950-1 gnd Kreditderivat (DE-588)7660453-6 gnd
topic_facet	Credit derivatives Credit / Management Kreditwesen Kreditderivat
url	http://swbplus.bsz-bw.de/bsz307648109cov.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017715598&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT kotharivinod creditderivativesandstructuredcredittrading

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