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Credit Derivatives and Credit Linked Notes
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Credit Derivatives and Credit Linked Notes

Credit Derivatives and Credit Linked Notes

Satyajit Das

940 pages, parution le 01/11/2000

Résumé

An updated and enhanced look at the management and trading of credit risk in terms of the markets, regulations, and nature of the product.

Credit derivatives have emerged as a significant area in global derivatives and risk management practice. These instruments have begun to revolutionize the management of credit risk in banking and capital markets. This book clearly explains how to structure and apply these products to solve risk management problems as well as how to price and value these instruments. Readers will find the Second Edition completely up-to-date with the latest information in the field. New topics have been added, including credit-linked notes, pricing models, default statistics, credit portfolio management, regulatory framework for credit derivatives, and market developments and prospects. This edition reflects the rapid evolution in the market and new contributors provide additional insight that readers will find beneficial.

Contents

PRODUCTS AND STRUCTURES.

  • Credit Derivative Products (S. Das).
  • Credit Linked Notes - Structured Notes (S. Das).
  • Credit Linked Notes - Repackaged Notes and Repackaging Vehicles (S. Das).
  • Credits Linked Notes - Portfolio Securitization Structures (S. Das).

APPLICATIONS.
  • Applications of Credit Derivatives (S. Das).

PRICING AND VALUATION ISSUES.
  • Pricing Credit Derivatives - Overview (S. Das).
  • Using Default Rates to Model Term Structures of Credit Risk (J. Fons).
  • Analytics and Algorithms for Credit Derivatives (H. Stedman).
  • Modeling Default Risk (P. Crosbie).
  • Historical Defaults and Recoveries for Corporate Bonds (S. Keenan, et al.).
  • Credit Rating Dynamics: Moody's Watchlist, Rating Migration, and Credit Quality Correlation (S. Keenan, et al.).

CREDIT PORTFOLIO MANAGEMENT.
  • Credit Risk Portfolio Models - A Comparison (A. Hickman).
  • CreditMetricsTM: Assessing the Marginal Risk Contribution of Credit (G. Gupton).

CREDITRISK+TM (T. Wilde).

MARKETS.

  • The Market for Credits Derivatives (R. Reoch).


RATING, DOCUMENTATION ACCOUNTING, AND TAXATION ISSUES.

  • Ratings Implications for Credits Derivatives (N. Anderson).
  • Documentation and Legal Issues (C. Whiteley).
  • Accounting and Taxation Implications of Credit Derivatives (PricewaterhouseCoopers).
  • Regulatory Framework for Credit Derivatives (S. Das).

CONCLUSIONS.
  • Credit Derivatives - The Evolution of the Market (S. Das).
  • Index.

L'auteur - Satyajit Das

Satyajit Das is an international specialist in the area of financial derivatives and risk management and capital markets. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia. He acts as a consultant to financial institutions and corporations on derivatives and financial products, risk management, and capital markets issues.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, specialising in fund raising in domestic and international capital markets and risk management/ derivative products. In 1987, Das was a Visiting Fellow at the Centre for Studies in Money, Banking and Finance, Macquarie University.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.

Autres livres de Satyajit Das

Caractéristiques techniques

  PAPIER
Éditeur(s) Wiley
Auteur(s) Satyajit Das
Parution 01/11/2000
Nb. de pages 940
Format 16 x 24
Couverture Relié
Poids 1535g
Intérieur Noir et Blanc
EAN13 9780471840312

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