An introduction to credit derivatives
著者
書誌事項
An introduction to credit derivatives
Elsevier Butterworth-Heinemann, 2004
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and economic capital. This book is an accessible introduction to the various types of credit derivative instruments traded in the markets today. All products are described with the help of worked examples and Bloomberg screens, and the reader will be left with a thorough familiarity with the nature of credit risk and credit products generally. Topics covered include:* Credit risk* Unfunded credit derivatives* Funded credit derivatives* Credit default swap pricing* The asset-swap credit default swap basis
目次
- Credit risk
- Credit Derivatives I
- Credit Derivatives II
- Credit Derivatives III: basic applications
- Pricing
- CDS pricing
- The CDS-ASW basis.
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