A complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions.
Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author.
The First Edition of Credit Derivatives was published in 1998. It was designed to meet the growing interest in complex instruments. An updated Second Edition was released in 2000. Credit Derivatives, CDOs & Structured Credit Products 3rd Edition offers comprehensive information on credit derivative products (both standard and structured), documentation issues, pricing/ valuation approaches, applications and the market.
Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author.
Key areas of new/ enhanced coverage include:
* Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations).
* Description of developments in structured credit products including:
1. Portfolio products
2. Up-front credit default swaps
3. Quanto credit default swaps
4. Credit swaptions
5. Zero recovery credit default swaps
6. First-to-default swaps/ Nth -to-default swaps
7. Asset swaptions/ synthetic lending facilities/ structured asset swaps
8. Constant maturity credit spread products and constant maturity credit default swaps
9. Credit index products
10. Equity default swaps
* Increased coverage of credit linked notes including repackaging structures.
* Detailed discussion of the collateralised debt obligations ("CDO") market including:
1. CDO structures
2. Pricing and valuation
3. Rating methodology
4. CDO variations (including SME CDOs, structured finance/ ABS CDOs, collateralised fund obligations ("CFOs").
5. Single tranche CDOs
6. Hedging of CDO tranches (including credit deltas and other Greeks and default correlation risk).
7. Behavior of CDO tranche (equity, mezzanine, senior and super senior) investments.
* Increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior.
* Coverage of E2C (equity to credit) hedging.
* Detailed examples of applications of credit derivatives by different market participants.
* Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades.
* Updated coverage of regulatory framework for credit derivatives.
* Updated discussion of market structures, developments and prospects.
Produkt-Info
Auflage
Sprache
Verlagsort
Verlagsgruppe
Zielgruppe
Maße
Höhe: 23.9 cm
Breite: 16.6 cm
Dicke: 4.9 cm
Gewicht
ISBN-13
978-0-470-82159-6 (9780470821596)
Schweitzer Klassifikation
Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Since 1994, he has been a consultant to financial institutions and corporations on derivatives and financial products and risk management issues. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia.
Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets specializing in capital markets and risk management / derivative products.
Das holds Bachelors' degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters Degree in Business Administration from the Australian Graduate School of Management.
Introduction
Credit Derivative Products
Structured Credit Products
3 Credit Linked Notes
Collateralised Debt Obligations
Credit Derivatives Pricing and Valuation
Credit Modelling/Credit Portfolio Management
Credit Derivative Applications
Credit Derivative Markets
