CiNii 図書 - Structured credit products : credit derivatives and synthetic securitisation

Updated coverage of structured credit products with in-depth coverage of the latest developments 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 collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown, along with models and teaching aids. Moorad Choudhry returns with this excellent update of the credit derivatives market. The second edition of his classic work is, like the subject matter itself, at the forefront of the financial industry. It deserves a wide readership. -Dr Didier Joannas Regional Director, Thomson Reuters, Hong Kong This is the perfect companion for both experienced and entry level professionals working in the structured credit fraternity. It is an erudite, insightful and enjoyable read that successfully demystifies one of the most topical subject areas in banking today, while also providing important practical examples that link the theory to the job itself. -Dr James Berriman Global Pricing Unit, Royal Bank of Scotland Moorad Choudhry has earned a deserved reputation from both academics and practitioners as one of the leading practical yet rigorous authors of finance books. In this Second Edition, his practical knowledge of credit derivatives keeps the audience engaged with straightforward explanations of complicated structures, and an accessible level of mathematical sophistication necessary to understand structured credit products. The author offers complete, rigorous analysis while avoiding overuse of mathematical formulas and carefully balanced practical and theoretical aspects of the subject. I strongly recommend this book for those wishing to gain an intuitive understanding of structured credit products, from practitioners to students of finance! -Mohamoud Barre Dualeh Senior Product Developer, Abu Dhabi Commercial Bank, UAE This is THE book for credit derivative trading. From first steps to advanced trading strategies, this is invaluable. Well written and insightful, perfect for ad hoc reference or reading cover to cover. -Andrew Benson ETF Market Making, KBC Peel Hunt, London Professor Choudhry has inspired me to really get into credit derivatives. It's great to be lectured by someone with such energy and practical hands-on experience, as well as the ability to get stuck into the details. -George Whicheloe Equity-Linked Technology, Merrill Lynch, London Moorad Choudhry is Head of Treasury at Europe Arab Bank plc in London. He is a Visiting Professor at the Department of Economics at London Metropolitan University.

Foreword Professor Darrell Duffie, Stanford University xi Preface xv Acknowledgements xix About the Author xxi Prologue The 2007-2008 credit and liquidity crunch: Impact on structured credit markets 1 Part I Credit risk and credit derivative instruments 21 Chapter 1 Credit risk 27 Chapter 2 Credit derivatives I: Unfunded instruments 57 Chapter 3 Credit derivatives II: Funded instruments 163 Chapter 4 Credit analysis and relative value measurement 185 Chapter 5 Credit derivatives III: Applications 203 Chapter 6 Credit derivatives pricing and valuation 227 Chapter 7 Credit default swap pricing 251 Chapter 8 The asset swap-credit default swap basis I: The asset swap pricing of credit default swaps 281 Chapter 9 The credit default swap basis II: Analysing the relationship between cash and synthetic markets 293 Chapter 10 Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades 343 Chapter 11 Syndicated loans, loan-only credit default swaps and CDS legal documentation 371 Part II Structured credit products and synthetic securitisation 403 Chapter 12 An introduction to securitisation 405 Chapter 13 Synthetic collateralised debt obligations 445 Chapter 14 CDO valuation and cash flow waterfall models 507 Chapter 15 Synthetic conduits and credit derivative funding structures 533 Part III CD-R 559 Chapter 16 Files on the accompanying CD-R 561 Contributing authors 567 Afterword: Econometrics, finance and football 569 Glossary 575 Index 589

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Structured credit products : credit derivatives and synthetic securitisation

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