Structured credit products : credit derivatives and synthetic securitisation
著者
書誌事項
Structured credit products : credit derivatives and synthetic securitisation
J. Wiley & Sons (Asia), 2004
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
Structured Credit Products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralised debt obligations. The book features: * Detailed product descriptions and analysis * Case studies on US, European and Asian transactions * Latest developments in synthetic structures. Written in an accessible style by an acclaimed author in the field of finance, this book is aimed at the entire banking, securitisation and fund management market.
目次
Foreword.Preface.Acknowledgements.About the Author.PART I: CREDIT RISK AND CREDIT DERVIATIVE INSTRUMENTS.Chapter 1. Credit Risk.Chapter 2. Credit Derivatives: Unfunded Instruments.Chapter 3. Credit Derivatives: Funded Instruments.Chapter 4. Credit Derivatives: Basic Applications.Chapter 5. Credit Derviatives: Pricing and Valuation.Chapter 6. Credit Default Swap Pricing.Chapter 7. The Asset Swap- Credit Default Swap Basic I.Chapter 8. The Credit Default Swap Basis II: Analyzing the Relationship between Cash and Synthetic Markets.PART II: STRUCTURED CREDIT PRODUCTS AND SYNTHETIC SECURITISATION.Chapter 9. An Introduction to Securitisation.Chapter 10. Synthetic Collateralised Debt Obligations.Chapter 11. Integrating Cash and Synthetic Markets: Multi-SPV Credit Hybrid CDO Structure.Chapter 12. Synthetic CDOS: Risk and Return.Chapter 13. Basic Principles in CDO Valuation and Cashflow Waterfall Models. Chapter14. Synthetic Mortgage-backed Securities.Chapter 15. Synthetic Conduit and Repackaged Transactions. Glossary.Index.
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