An introduction to credit derivatives

Moorad Choudhry - Collection Elsevier Finance

114 pages, parution le 18/06/2004

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Résumé

In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and economic capital. This book is an accessible introduction to the various types of credit derivative instruments traded in the markets today. All products are described with the help of worked examples and Bloomberg screens, and the reader will be left with a thorough familiarity with the nature of credit risk and credit products generally. Topics covered include:

Credit risk
Unfunded credit derivatives
Funded credit derivatives
Credit default swap pricing
The asset-swap credit default swap basis

L'auteur - Moorad Choudhry

Dr Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Department of Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.

Sommaire

Credit risk
Credit Derivatives I
Credit Derivatives II
Credit Derivatives III: basic applications
Pricing
CDS pricing
The CDS-ASW basis.

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Elsevier
Auteur(s)	Moorad Choudhry
Collection	Elsevier Finance
Parution	18/06/2004
Nb. de pages	114
Format	17 x 24
Couverture	Relié
Poids	398g
Intérieur	Noir et Blanc
EAN13	9780750662628
ISBN13	978-0-7506-6262-8