Credit Derivatives and Structured Credit Trading, Revised Edition
Published on 29. September 2011
512 pages
978-1-118-17878-2 (ISBN)
Description
Credit derivatives as a financial tool has been growingexponentially from almost nothing more than seven years ago toapproximately US$5 trillion deals completed by end of 2005. Thisindicates the growing importance of credit derivatives in thefinancial sector and how widely it is being used these days bybanks globally. It is also being increasingly used as a device ofsynthetic securitisation. This significant market trend underscoresthe need for a book of such a nature.
Kothari, an undisputed expert in credit derivatives, explains thesubject matter using easy-to-understand terms, presents it in alogical structure, demystifies the technical jargons and blendsthem into a cohesive whole.
This revised book will also include the following:
- New credit derivative definitions
- New features of the synthetic CDO market
- Case studies of leading transactions of synetheticsecuritisations
- Basle II rules - The Consultative Paper 3 has significantlyrevised the rules, particularly on synthetic CDOs
- Additional inputs on legal issues
- New clarifications on accounting for credit derivatives/creditlinked notes
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Person
Vinod Kothari is widely recognized as a specialist instructured finance and credit risk. Author, trainer and consultant,he has been dealing with credit derivatives for over the last sevenyears, and structured finance for over the last 12 years.
He has several books to his credit, including Securitization:The Financial Instrument of the Future; Securitization, AssetReconstruction and Enforcement of Security Interests; LeaseFinancing and Hirepurchase; and Introduction toSecuritization (jointly with Frank Fabozzi).
As a trainer, Kothari runs public and private training workshopsin structured finance and credit risk areas all over the world, andtrains nearly 1,000 executives at all levels. He has handledseveral consulting assignments for banks, companies andgovernments. These include complete handholding through asecuritization of mortgage receivables, cashflow modeling,valuation, handling a project on financing for affordable housingfor a government, and advising regulators on security interest andsecuritization laws, among others.
Kothari is a chartered accountant, and a company secretary. Witha brilliant academic record, Vinod Kothari has been a rankholder atschool, college, university and professional examinations.
He is based in Kolkata, India and may be contacted atvinod@vinodkothari.com
Content
Foreword.
Preface.
PART 1 MARKET, INSTRUMENTS AND MOTIVATIONS.
Chapter 1: Credit derivatives: Structure, evolution,motivations, and economics.
Chapter 2: Credit derivatives: Market, evolution, and currentstatus.
PART 2 SINGLE-NAME INSRTUMENTS.
Chapter 3: Credit default swaps.
Chapter 4: Total rate of return swaps.
Chapter 5: Credit-linked notes.
Chapter 6: Credit default swaps on asset-backed securitiesand derivatives exposures.
Chapter 7: Loan-only CDS.
Chapter 8: Credit derivatives options and volatilitytrades.
Chapter 9: Equity default swaps, recovery swaps and otherexotic products.
PART 3 PORTFOLIO PRODUCTS.
Chapter 10: Portfolio credit derivatives and introduction tostructured credit trading.
Chapter 11: Introduction to collateralized debtobligations.
Chapter 12: Index trades.
Chapter 13: Single-tranche synthetic CDOs, CPDOs, and otherCDO innovations.
Chapter 14: CDO case studies.
Chapter 15: Credit derivative product companies.
PART 4 PRICING AND VALUATION OF CREDIT DERIVATIVES.
Chapter 16: Approaches to quantification of creditrisk.
Chapter 17: Pricing of a single name creditderivative.
Chapter 18: Pricing of a portfolio credit defaultswap.
PART 5 LEGAL, REGULATIORY, OPERATIONAL, TAX AND ACCOUNTINGASPECTS.
Chapter 19: Legal aspects of credit derivatives.
Chapter 20: Documentation for credit derivatives.
Chapter 21: Taxation of credit derivatives.
Chapter 22: Accounting for credit derivatives.
Chapter 23: Regulatory capital and other regulations oncredit derivatives.
Chapter 24: Operational issues.
Chapter 25: Credit derivatives terminology.
Index.
