Implementing credit derivatives
著者
書誌事項
Implementing credit derivatives
（The Irwin library of investment and finance）
McGraw-Hill, c1999
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注記
Includes index
内容説明・目次
内容説明
Trading of credit derivatives will soon pass the $100 billion mark! This 'real world' book goes beyond the fundamentals of credit derivatives to explore the practical realities of derivatives in a credit risk management strategy. Key regulatory and legal issues are covered, along with numerous case studies to clearly demonstrate application of the strategies discussed.
目次
Preface. Introduction. The Structures. Legal and Regulatory Aspects (by Claude Brown of Clifford Chance). Analysis of Credit Spreads. Revenue-Neutral Diversification. Examination of Term Sheets. Credit Derivatives and the Repo Markets. Collateralized Bond Obligations. Locating the CD Function within a Bank. Credit Risk Management in Asia. CreditMetrics. CreditRisk+. Credit Derivatives and Bank Loans. Creation and Analysis of Structured Credit Derivatives. The Valuation of Credit Derivatives. Analysis and Pricing. Glossary. Index.
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