Understanding credit derivatives and related instruments:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam [u.a.]
Elsevier Academic Press
[2016]
|
| Edition: | Second edition |
| Series: | Academic Press advanced finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xx, 399 Seiten Illustrationen |
| ISBN: | 9780128001165 |
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MARC
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| 245 | 1 | 0 | |a Understanding credit derivatives and related instruments |c Antulio N. Bomfim |
| 250 | |a Second edition | ||
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier Academic Press |c [2016] | |
| 300 | |a xx, 399 Seiten |b Illustrationen | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Academic Press advanced finance series | |
| 505 | 8 | |a Includes bibliographical references (p. [325]-330) and index | |
| 650 | 4 | |a Credit derivatives | |
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Record in the Search Index
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| adam_text | Contents
Preface to the Second Edition xix
Part I
Credit Derivatives: Definition, Market, Uses
1. Credit Derivatives: A Brief Overview
1.1 What Are Credit Derivatives? 3
1.2 Potential Gains from Trade 4
1.3 Types of Credit Derivatives 5
1.3.1 Single֊Name Instruments 5
1.3.2 Multiname Instruments 6
1.3.3 Credit-Linked Notes 7
1 .3.4 Sovereign vs. Other Reference Entities 8
1.4 Valuation Principles 9
1.4.1 Fundamental Factors 9
1.4.2 Other Potential Risk Factors 10
1.4.3 Static Replication vs. Modeling 12
1 .4.4 A Note on Supply, Demand, and Market Frictions 1 3
1.5 Counterparty Credit Risk (Again) 14
2. The Credit Derivatives Market
2.1 Evolution and Size of the Market 1 8
2.2 Market Activity and Size by instrument Type 20
2.2.1 Single-vs. Multiname Instruments 20
2.2.2 Sovereign vs. Other Reference Entities 21
2.2.3 Credit Quality of Reference Entities 23
2.2.4 Maturities of Most Commonly Negotiated Contracts 24
2.3 Main Market Participants 25
2.3.1 Nondealer End Users 25
2.3.2 Buyers and Sellers of Credit Protection 26
2.4 Common Market Practices 26
2.4.1 A First Look at Documentation Issues 27
2.4.2 Collateralization and Netting 28
3. Main Uses of Credit Derivatives
3.1 Credit Risk Management by Banks 30
3.2 Managing Bank Regulatory Capital * 3Î
ix
x Contents
3.2.1 A Brief Historic Digression: The 1 988 Basel Accord 31
3.2.2 Credit Derivatives and Regulatory Capital Management 33
3.2.3 Beyond the 1988 Base! Accord 34
3.3 Yield Enhancement Portfolio Diversification 35
3.3.1 Leveraging Credit Exposure, Unfunded instruments 35
3.3.2 Synthesizing Long Positions in Corporate Debt 36
3-4 Shorting Corporate Bonds 36
3.5 Other Uses of Credit Derivatives 37
3.5.1 Hedging Vendor-Financed Deals 37
3.5.2 Hedging by Convertible Bond Investors 38
3.5.3 Selling Protection as an Alternative to Loan Origination 38
3.6 Credit Derivatives as Market Indicators 39
Part II
Main Types of Credit Derivatives
4. Floating-Rate Notes
4.1 Not a Credit Derivative... 43
4.2 How Does It Work? 43
4.3 Common Uses 44
4.4 Valuation Considerations 45
4.5 A Primer on Interest Rate and Spread Sensitivities 49
4.5.1 Interest Rate Sensitivity 49
4.5.2 Spread Sensitivity 51
5. Asset Swaps
5.1 A Borderline Credit Derivative... 55
5.2 How Does it Work? 56
5.3 Common Uses 58
5.4 Valuation Considerations 59
5.4.1 Valuing the Two Pieces of an Asset Swap 60
5.4.2 Comparison to Par Floaters 63
6. Credit Default Swaps
6.1 How Does It Work? 68
6.2 Common Uses 70
6.2.1 Protection Buyers 70
6.2.2 Protection Sellers 71
6.2.3 Some Additional Examples 72
6.3 Valuation Considerations 73
6.3.1 CDS vs. Cash Spreads in Practice 75
6.3.2 A Closer Look at the CDS֊Cash Basis 77
6.3.3 When Cash Spreads Are Unavailable... 79
6.4 Variations on the Basic Structure 81
6.5 Upfront Payments and Standardized Spreads 81
Contents
xi
7. Total Return Swaps
7.1 How Does It Work? 85
7.2 Common Uses 87
7.3 Valuation Considerations 88
7.4 Variations on the Basic Structure 91
8. Spread and Bond Options
8.1 How Does it Work? 93
8.2 Common Uses 95
8.3 Valuation Considerations 97
8.4 Variations on Basic Structures 98
9. Basket Default Swaps
9.1 How Does It Work? 99
9.2 Common Uses 101
9.3 Valuation Considerations 101
9.3.1 A First Look at Default Correlation 103
9.3.2 Basket vs. Single-Name CDS Spreads 104
9.4 Variations on the Basic Structure 105
10. Portfolio Default Swaps
10.1 How Does It Work? 107
10.2 Common Uses 109
10.3 Valuation Considerations 110
10.3.1 A First Look at the Loss Distribution Function 11 0
10.3.2 Loss Distribution and Default Correlation 11 2
10.4 Variations on the Basic Structure 11 5
11. Principal-Protected Structures
11.1 How Does It Work? 117
11.2 Common Uses 118
11.3 Valuation Considerations 119
11.4 Variations on the Basic Structure 121
12. Credit-Linked Notes
12.1 How Does It Work? 123
12.2 Common Uses 125
12.3 Valuation Considerations 125
12.4 Variations on the Basic Structure 126
13. Repackaging Vehicles
13.1 How Does It Work? 127
13.2 Why Use Repackaging Vehicles? 129
xii Contents
13.3 Valuation Considerations 130
13.4 Variations on the Basic Structure 130
14. Synthetic CDOs
14.1 Traditional CDOs ^ 33
14.1.1 How Does It Work? 134
14.1 .2 Common Uses: Balance-Sheet and Arbitrage CDOs 136
14.13 Valuation Considerations 137
14.2 Synthetic Securitization 137
14.2.1 Common Uses: Why Go Synthetic? 139
14.2.2 Valuation Considerations for Synthetic CDOs 140
14.23 Variations on the Basic Structure 1 40
15. CDS Indexes
15.1 How Does It Work? 1 43
15.1.1 Trading CDS Indexes 144
1 5.1 .2 Index Roll 1 46
15.13 In the Event of Default 147
15.2 Common Uses 148
153 Valuation Considerations 148
15.4 Variations on the Basic Structure 148
16. CDS on Commercial Mortgages and Subprime
Residential Mortgages
16.1 How Does It Work? 152
16.1.1 Key Differences from Traditional CDS 152
16.1.2 When a Credit Event Occurs 153
16.2 ABS/CMBS CDS Indexes: ABX and CMBX 154
16.3 Common Uses 155
163.1 Protection Buyers 155
163.2 Protection Sellers 155
16.4 Valuation Considerations 156
16.5 ABS/CMBS CDS and the 2008 Financial Crisis 156
16.6 Variations on the Basic Structure 156
Part III
Introduction to Credit Modeling I: Single-Name
Defaults
17. Valuing Defaultable Bonds
17.1 Zero-Coupon Bonds 159
17.2 Risk-Neutral Valuation and Probability 161
17.2.1 Investors Risk Preferences 161
17.2.2 Risk-Neutral Probabilities 163
Contents
xiii
17.3 Coupon-Paying Bonds 164
17.4 Nonzero Recovery 165
17.5 Risky Bond Spreads 166
17.6 Recovery Rates 168
18. The Credit Curve
18.1 CDS-Implied Credit Curves 172
18.1.1 Implied Survival Probabilities (Bootstrapping) 173
18.1.2 Examples 174
18.1.3 Flat CDS Curve Assumption 176
18.1.4 A Simple Rule of Thumb 176
18.1.5 Sensitivity to Recovery Rate Assumptions 177
18.2 Marking to Market a CDS Position 178
18.3 Valuing Upfront Payments 180
18.4 Valuing a Principal-Protected Note 181
18.4.1 Examples 182
18.4.2 PPNs vs. Vanilla Notes 183
18.5 Accrued Premiums 184
18.6 Other Applications and Some Caveats 186
19. Main Credit Modeling Approaches
19.1 Structural Approach 188
19.1.1 The Black-Scholes-Merton Model 188
19.1.2 Solving the Black-Scholes-Merton Model 192
19.1.3 Practical Implementation of the Model 193
19.1.4 Extensions and Empirical Validation 194
19.1.5 Credit Default Swap Valuation 196
19.2 Reduced-form Approach 198
19.2.1 Overview of Some Important Concepts 198
19.2.2 Default Intensity 203
19.2.3 Uncertain Time of Default 204
19.2.4 Valuing Defaultable Bonds 205
1 9.2.5 Extensions and Uses of Reduced-form Models 210
19.2.6 Credit Default Swap Valuation 211
19.3 Comparing the Two Main Approaches 212
19.4 Ratings-Based Models 214
20. Valuing Credit Options
20.1 Forward-Starting Contracts 219
20.1.1 Valuing a Forward-Starting CDS 220
20.1.2 Other Forward-Starting Structures 221
20.2 Valuing Credit Default Swaptions 222
20.3 Valuing Other Credit Options 224
20.4 Alternative Valuation Approaches 224
20.5 Valuing Bond Options 225
xiv Contents
Part IV
Introduction to Credit Modeling II: Portfolio Credit Risk
21. The Basics of Portfolio Credit Risk
21.1 Default Correlation 230
21.1.1 Pairwise Default Correlation 230
21.1.2 Modeling Default Correlation 233
21.1.3 Pairwise Default Correlation and 0 236
21.2 The Loss Distribution Function 238
21.2.1 Conditional Loss Distribution Function 238
21.2.2 Unconditional Loss Distribution Function 240
21.2.3 Large-Portfolio Approximation 241
21.3 Default Correlation and Loss Distribution 243
21.4 Monte Carlo Simulation: Brief Overview 244
21.4.1 How Accurate is the Simulation֊Based Method? 246
21.4.2 Evaluating the Large-Portfolio Method 247
21.5 Conditional vs. Unconditional Loss Distributions 249
21.6 Extensions and Alternative Approaches 250
22. Valuing Basket Default Swaps
22.1 Basic Features of Basket Swaps 253
22.2 Reexamining the Two-Asset FTD Basket 254
22.3 FTD Basket with Several Reference Entities 255
■ 22.3.1 A Simple Numerical Example 255
22.3.2 A More Realistic Valuation Exercise 257
22.4 The Second-to-Default Basket 260
22.5 Basket Valuation and Asset Correlation 260
22.6 Extensions and Alternative Approaches 261
23. Valuing Portfolio Swaps and CDOs
23.1 A Simple Numerical Example 263
23.2 Model-Based Valuation Exercise 266
23.3 The Effects of Asset Correlation 269
23.4 The Large-Portfolio Approximation 271
23.5 Valuing CDOs: Some Basic Insights 272
23.6 Concluding Remarks 273
24. A Quick Tour of Commercial Models
24.1 CreditMetrics 276
24.2 The KMV Framework 276
24.3 CreditRisk+ 277
24.4 Moody s Binomial Expansion Technique 278
24.5 Concluding Remarks 279
Contents
XV
25. Modeling Counterparty Credit Risk
25.1 The Single֊Name CDS as a Two-Asset Portfolio 282
25.2 The Basic Model 282
25.3 A CDS with No Counterparty Credit Risk 284
25.4 A CDS with Counterparty Credit Risk 286
25.4.1 Analytical Derivation of Joint Probabilities of Default 287
25.4.2 Simulation-Based Approach 290
25.4.3 An Example 291
25.5 Other Models and Approaches 293
25.6 Counterparty Credit Risk in Multiname Structures 294
25.7 Concluding Thoughts 294
Part V
A Brief Overview of Documentation and
Regulatory Issues
26. Anatomy of a CDS Transaction
26.1 Standardization of CDS Documentation 298
26.1.1 Essential Terms of a CDS Transaction 300
26.1.2 Other important Details of a CDS Transaction 303
26.1.3 A Few Words of Caution 303
26.2 When a Credit Event Takes Place... 303
26.2.1 Credit Event Notification and Verification 304
26.2.2 The Look-Back Provision 304
26.2.3 Settling the Contract 305
26.3 A Bit of Market History: The Restructuring Debate 305
26.3.1 A Case in Point: Conseco 306
26.3.2 Modified Restructuring 307
26.3.3 A Bifurcated Market 308
26.3.4 Valuing the Restructuring Clause 308
26.3.5 Implications for Implied Survival Probabilities 309
27. A Primer on Regulatory Issues
27.1 The Basel II and Basel Ж Capital Accords 312
27.2 Bank II Risk Weights and Credit Derivatives 313
27.3 Basel HI and Counterparty Credit Risk 31 5
27.4 Suggestions for Further Reading on Banking Issues 315
27.5 Beyond Banks: The Evolving Regulatory Landscape 316
Part VI
Hedging and Trading Credit Default Swaps
28. Measuring the Risks Embedded in a CDS Position
28.1 Review of a Key Marking-to-Market Result 322
28.2 The Protection Seller s Perspective 323
xvi Contents
28.3 Risk Sensitivities: Basic Concepts 325
28.3 Л Spread Sensitivity 325
28.3.2 Interest Rate Sensitivity 327
28.3.3 Recovery Rate Sensitivity 329
28.3.4 Default Exposure 330
28.4 Risk Sensitivities: Numerical Examples 331
28.4.1 SDV01 Computation 333
28.4.2 1RDV01 Computation 335
28.4.3 Recovery Rate Sensitivity Computation 335
28.4.4 Default Exposure Computation 337
28.4.5 Summary of Numerical Results 337
28.5 Extensions and Variations 338
29. Portfolio-Level Risks and Basic CDS Hedging
29.1 Risk Sensitivities at the Portfolio Level 340
29.1.1 Spread Sensitivity of the Portfolio 340
29.1.2 Interest Rate Sensitivity of the Portfolio 342
29.1.3 Portfolio-Level Default Exposure 342
29.2 Interactions Between Spread and Default Risks 344
29.3 A Digression: What s in a CDS Spread? 345
29.4 A Simple CDS Hedging Strategy 346
29.4.1 Hedging Spread Risk 346
29.4.2 Hedging Interest Rate Risk 349
29.5 A Brief Look at a CDS Trade 350
29.6 Extensions and Variations 351
30. Trading the CDS Curve
30.1 A Closer Look at the P L of a CDS Position 353
30.1.1 Time Exposure: Carry 354
30.1.2 Time Exposure: Rolldown 355
30.1.3 CDS Curve Exposure 356
30.1.4 Putting It All Together... 357
30.2 A Simple Curve Trade 361
30.2.1 Time Exposure: Carry 361
30.2.2 Time Exposure: Rolldown 361
30.2.3 Market Risk Exposures 362
30.2.4 Breakeven and Scenario Analyses 363
30.3 Spread-Duration-Neutral Curve Trades 366
30.3.1 Time Exposure: Carry 367
30.3.2 Time Exposure: Rolldown 367
30.3.3 Market Risk Exposures 367
30.3.4 Breakeven and Scenario Analysis 367
30.4 Extensions and Additional Considerations 370
Contents xvii
Appendix A: Basic Concepts from Bond Math
A.1 Zero-Coupon Bonds 371
A.2 Compounding 371
A.3 Zero-Coupon Bond Prices as Discount Factors 372
A.4 Coupon-Paying Bonds 373
A.5 Inferring Zero-Coupon Yields from the Coupon Curve 373
A.6 Forward Rates 375
A. 7 Forward Interest Rates and Bond Prices 376
Appendix B: Basic Concepts from Statistics
B. 1 Cumulative Distribution Function 377
B.2 Probability Function 378
B.3 Probability Density Function 378
B.4 Expected Value and Variance 379
B.5 Bernoulli Trials and the Bernoulli Distribution 379
B.6 The Binomial Distribution 380
B.7 The Poisson and Exponential Distributions 381
B.8 The Normal Distribution 383
B.9 The Lognormal Distribution 384
B.10 joint Probability Distributions 385
B.11 Independence 385
B.12 The Bivariate Normal Distribution 386
Bibliography 387
Index 391
|
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| spelling | Bomfim, Antúlio N. Verfasser (DE-588)124673147 aut Understanding credit derivatives and related instruments Antulio N. Bomfim Second edition Amsterdam [u.a.] Elsevier Academic Press [2016] xx, 399 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Academic Press advanced finance series Includes bibliographical references (p. [325]-330) and index Credit derivatives Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditderivat (DE-588)7660453-6 s DE-604 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028800601&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bomfim, Antúlio N. Understanding credit derivatives and related instruments Includes bibliographical references (p. [325]-330) and index Credit derivatives Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)7660453-6 |
| title | Understanding credit derivatives and related instruments |
| title_auth | Understanding credit derivatives and related instruments |
| title_exact_search | Understanding credit derivatives and related instruments |
| title_full | Understanding credit derivatives and related instruments Antulio N. Bomfim |
| title_fullStr | Understanding credit derivatives and related instruments Antulio N. Bomfim |
| title_full_unstemmed | Understanding credit derivatives and related instruments Antulio N. Bomfim |
| title_short | Understanding credit derivatives and related instruments |
| title_sort | understanding credit derivatives and related instruments |
| topic | Credit derivatives Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Credit derivatives Kreditderivat |
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