Credit derivatives : trading & management of credit & default risk
Author(s)
Bibliographic Information
Credit derivatives : trading & management of credit & default risk
（Wiley frontiers in finance）
Wiley, 1998
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
Credit derivatives has emerged as an area of significant interest in global derivatives and risk management practice, promising to change the management of credit risk. This volume explains how to solve risk management problems as well as how to price and value products.
Table of Contents
- PRODUCTS AND STRUCTURES
- Credit Derivative - Instuments (S. Das)
- Credit-Linked Structured Notes (S. Das). APPLICATIONS
- Credit Derivatives Applications (S. Das)
- PRICING AND VALUATION ISSUES
- Valuation and Pricing of Credit Derivatives (S. Das)
- Using Default Rates to Model the Term Structures of Credit Risk (J. Fons)
- Analytics and Algorithms for Credit Derivatives (H. Stedman)
- CreditMetricsTM: Assessing the Marginal Risk Contribution of Credit (G. Gupton)
- Modeling Default Risk (P. Crosbie)
- Historical Default Rates of Corporate Bond Issuers 1920-1996 (L. Carty & D. Lieberman)
- Moody's Rating Migration and Credit Quality Correlation 1920-1996 (L. Carty)
- MARKETS
- The Market for Credit Derivatives (R. Reoch)
- RATING, DOCUMENTATION, ACCOUNTING AND TAXATION ISSUES
- Rating Implications of Credit Derivatives (N. Anderson)
- Legal, Documentation and Regulatory Issues of Credit Derivatives (C. Brown)
- Accounting and Taxation Implications of Credit Derivatives (P. Waterhouse)
- CONCLUSIONS
- Developments in the Market for Credit Derivatives (S. Das)
- Index.
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