Implementing Credit Derivatives
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Implementing Credit Derivatives
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Author : Israel Nelken
language : en
Publisher: McGraw Hill Professional
Release Date : 1999
Implementing Credit Derivatives written by Israel Nelken and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
This text 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 case studies to demonstrate application of the strategies discussed.
Credit Derivatives Pricing Models
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Author : Philipp J. Schönbucher
language : en
Publisher: John Wiley & Sons
Release Date : 2003-10-31
Credit Derivatives Pricing Models written by Philipp J. Schönbucher and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-10-31 with Business & Economics categories.
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Credit Derivatives Revised Edition
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Author : George Chacko
language : en
Publisher: FT Press
Release Date : 2015-12-18
Credit Derivatives Revised Edition written by George Chacko and has been published by FT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-18 with Business & Economics categories.
Every company faces credit risk. Credit derivatives are among the most powerful tools available for managing it. Once restricted to the financial industry, they are now widely used by businesses of all kinds—and all financial professionals need to understand them. Credit Derivatives, Revised Edition, explains these tools simply, clearly, and rigorously: what they do, how they work, and how to use them in today’s applications. The authors first show how credit risk can be measured and valued. They explain key ideas, such as recovery rates and credit spreads, and show how derivatives transfer credit risk to external investors. Next, they systematically demonstrate how credit risk models can describe and predict credit risk events. They cover structural models, including Merton and Black and Cox; empirical models, such as the Z-score model; and reduced-form models, such as Jarrow-Turnbull. The authors also present detailed explanations of two widely used instruments: credit default swaps (CDSs) and collateralized debt obligations (CDOs). Finally, building on what you’ve learned, the authors offer a brand-new primer on today’s applications for financial instruments with embedded credit risk. FINANCIAL STATEMENT ANALYSIS Perform preliminary financial analysis on any potential project UNDERSTAND, MEASURE, AND ASSESS CREDIT RISK Master core concepts, from credit spreads to default probabilities MASTER POWERFUL CREDIT RISK MODELING APPROACHES Learn structural, empirical, and reduced-form credit risk modeling GAIN DEEP INSIGHT INTO TODAY’S INSTRUMENTS AND APPLICATIONS Understand CDSs, CDOs, and how credit-sensitive products are now used FOR EVERY FINANCIAL PRACTITIONER: BUY-SIDE AND SELL-SIDE For CFOs, treasurers, and other practitioners—everywhere from pension funds to commercial corporations
Credit Derivatives
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Author : Mark J. P. Anson
language : en
Publisher: John Wiley & Sons
Release Date : 2004-02-01
Credit Derivatives written by Mark J. P. Anson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-01 with Business & Economics categories.
An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Credit Derivatives And Synthetic Structures
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Author : Janet M. Tavakoli
language : en
Publisher: John Wiley & Sons
Release Date : 2001-07-16
Credit Derivatives And Synthetic Structures written by Janet M. Tavakoli and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-07-16 with Business & Economics categories.
Fully revised and updated Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures. "If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book." --Merton H. Miller, winner, Nobel Prize in Economics, 1990 "Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.
Credit Derivatives
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Author : Geoff Chaplin
language : en
Publisher: John Wiley & Sons
Release Date : 2010-04-19
Credit Derivatives written by Geoff Chaplin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-19 with Business & Economics categories.
The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors. Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk Management, Second Edition, covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. It provides: a description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring; analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings; tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management; a thorough analysis of counterparty risk; an intuitive understanding of credit correlation in reality and in the Copula model. The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and new chapters on the implementation and testing of credit derivative models and systems. The book is accompanied by a website which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit.
Credit Derivatives
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Author : Erik Banks
language : en
Publisher: McGraw Hill Professional
Release Date : 2007
Credit Derivatives written by Erik Banks and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
Credit derivatives are the key risk-management tools for todays finance practitioner.
Credit Derivatives
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Author : Janet M. Tavakoli
language : en
Publisher:
Release Date : 1998-06-23
Credit Derivatives written by Janet M. Tavakoli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-06-23 with Business & Economics categories.
A comprehensive first look at one of today's fastest growing investment and risk management mechanisms. "If you want to know more about credit derivatives-and these days an increasing number of people do-then you should read this book." -Merton H. Miller, winner, Nobel Prize in Economics, 1990 Robert R. McCormick Distinguished Service Professor Emeritus, University of Chicago Graduate School of Business. "Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution. She combines her extensive experience and deep understanding of the derivatives markets with a lucid writing style that makes this an eminently readable volume. This book should set the standard for credit derivatives texts for years to come." -Carl V. Schuman, Manager, Credit Derivatives, WestLB New York. "Tavakoli does a remarkable job compiling a highly readable and much needed guide to instruments and applications of credit derivatives. Using charts, examples, basic investment theory, and elementary mathematics, Tavakoli explains the real-world practice and applications of credit derivative products. Credit Derivatives clarifies often misunderstood concepts and offers a framework with which to analyze derivatives and how to make them work." -Stephen Wade, Managing Director, UBS Securities LLC Hei Wai Chan, PhD, Director, UBS Securities LLC. "Tavakoli has written a book that finally demystifies credit derivatives. It is an easy to understand analysis of the many aspects of the basic products used in this new and innovative derivative structure. Anyone in the banking community as well as the sophisticated derivatives professional will find it both useful and insightful." -Randy Allison Kaufman, Managing Director, BankBoston, Structured Derivatives. One of today's fastest growing investment and risk management mechanisms, credit derivatives are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. Written by credit derivatives specialist Janet Tavakoli, this groundbreaking book-the only comprehensive resource of its kind-demystifies and clarifies all the fine points of credit derivatives, offering complete details on what they are, how they work, and how best to capitalize on them. Though not new, credit derivatives have just recently grabbed the spotlight as vehicles that can diversify portfolio credit risk by dampening the volatility of possible returns. While many investors and end users are beginning to realize the potential of these products, most have only scratched the surface of understanding how they can be applied to credit line and portfolio management, arbitrage opportunities, and the creation of synthetic assets. Covering these and other current applications, Credit Derivatives provides the foundation necessary to fully grasp and effectively implement these powerful tools. Along with descriptions of the full range of products available in today's marketplace, it explains the economic value of credit derivatives, examines valuation techniques, and, perhaps, most importantly, provides specific guidelines on using them to manage and control risk. Tavakoli demonstrates how credit derivatives have become instruments that enable investors to question, theorize, and create a new framework for evaluating market credit risk. This accessible and exhaustive guide is must reading for anyone involved in the rapidly growing area of credit derivatives.
An Introduction To Credit Derivatives
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Author : Moorad Choudhry
language : en
Publisher: Butterworth-Heinemann
Release Date : 2012-12-31
An Introduction To Credit Derivatives written by Moorad Choudhry and has been published by Butterworth-Heinemann this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-31 with Business & Economics categories.
The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision. Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance. A post-crisis guide to a powerful bank risk management product, its history and its use Liberal use of Bloomberg screens and new worked examples increase hands-on practicality New online set of CDS pricing models and other worksheets multiply the book's uses
Credit Derivatives
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Author : Gunter Meissner
language : en
Publisher: John Wiley & Sons
Release Date : 2009-02-04
Credit Derivatives written by Gunter Meissner and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-04 with Business & Economics categories.
The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives.