Credit derivatives and credit linked notes
Author(s)
Bibliographic Information
Credit derivatives and credit linked notes
(Wiley frontiers in finance)
Wiley, 2000
2nd ed
- Other Title
-
Managing credit portfolios : the complete creditmetrics
Available at 10 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
Rev. ed. of: Credit derivatives / Satyajit Das (ed.). New York : Wiley, 1998
"Managing credit portfolios : the complete creditmetrics / Riskmetrics Group"--CD-ROM
Includes bibliographical references and index
Description and Table of Contents
Description
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. Satyajit Das (Singapore) is the author of several key financial books including Swap Financing; Swaps and Financial Derivatives: The Global Reference to Products, Pricing, Applications and Markets; and Exotic Options.
Table of Contents
- List of Contributors
- About the Contributors
- Introduction
- 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 - Credit Portfolio Securitization Structures (S. Das)
- APPLICATIONS
- Credit Derivatives - Applications (S. Das)
- PRICING AND VALUATION ISSUES
- Modeling Credit Risk / Pricing Credit Derivative Instruments (S. Das)
- Using Default Rates to Model Term Structure 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
- Overview to Credit Risk Modeling (A. Hickman)
- CreditMetrics TM : Assessing the Marginal Risk Contribution of Credit (G. Gupton)
- CREDITRISK +TM (T. Wilde)
- MARKETS
- The Market for Credits Derivatives (R. Reoch)
- RATINGS, DOCUMENTATION ACCOUNTING, AND TAXATION ISSUES
- Ratings Implications for Credits Derivatives (N. Anderson)
- Documentation and Legal Issues (C. Whiteley)
- Accounting for Credit Derivatives (PricewaterhouseCoopers)
- Credit Derivatives and Credit Linked Notes - Regulatory Treatment (S. Das)
- CONCLUSIONS
- Credit Derivatives and Credit Risk Management - Evolution and Prospects (S. Das)
- Index
by "Nielsen BookData"