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Author : Greg N. Gregoriou,Paul U. Ali Publisher : McGraw Hill Professional Page : 528 pages File Size : 52,6 Mb Release : 2008-07-31 Category : Business & Economics ISBN : 9780071549530
Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers by Greg N. Gregoriou,Paul U. Ali Pdf
The world’s leading financial thinkers share their insights into the latest developments in credit derivatives In The Credit Derivatives Handbook, some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds. You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as: Key products, applications, and typical trades, hedging and credit structuring Pricing of credit default swaps and synthetic CDOs Design of synthetic CDOs Copula models, with illustrative examples Credit derivatives in investment portfolios Opportunities for structuring credit derivatives in accordance with Islamic finance Comprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider “one of the most important financial innovations of recent times.”
Handbook of Credit Derivatives by Jack Clark Francis,Joyce Frost,J. Gregg Whittaker Pdf
For financial professionals, credit derivatives are uniquely powerful tools to manage credit risk--tools that are less costly and more effective than traditional methods. Investors, on the other hand, appreciate the efficiency with which they can use credit derivatives to easily access different sectors of the credit markets. Regardless of your perspective, The Handbook of Credit Derivatives will give you expert knowledge and insights into credit-derivatives, arm you with the latest professional tactics and techniques for pricing and evaluating these versatile securities, and help you get your arms around today's most exciting, rewarding risk management and investment tool. Book jacket.
The Oxford Handbook of Credit Derivatives by Alexander Lipton,Andrew Rennie Pdf
From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts
Credit Derivatives and Synthetic Structures by Janet M. Tavakoli Pdf
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.
The Handbook of Credit Risk Management by Sylvain Bouteille,Diane Coogan-Pushner Pdf
A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.
The Structured Credit Handbook by Arvind Rajan,Glen McDermott,Ratul Roy Pdf
The Structured Credit Handbook is a comprehensive introduction to all types of credit-linked financial instruments. This book provides state-of-the-art primers on single tranche collateralized debt obligations (CDOs), collateralized loan obligations (CLOs), credit derivatives (such as credit default swaps and swaptions), and iBoxx indexes. Filled with in-depth insight and expert advice, The Structured Credit Handbook covers all aspects of the synthetic arbitrage CDO market, including new instruments such as CDO2. Readers will also gain a firm understanding of the investment rationale, risks, and rewards associated with CDO investments through this valuable resource. The exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit, creating an $18 trillion market almost overnight and resulting in innumerable investment and career opportunities globally. The Structured Credit Handbook provides the reader with a comprehensive and clear roadmap to today's new credit landscape. The full spectrum of structured credit products, from single-name CDS to CDOs, is explained in a simple, clear fashion that is free from the financial jargon and mathematical complexity which characterize many other derivative texts. The handbook begins with an in-depth explanation of the building blocks of the structured credit markets, single-name default swaps and indexes, and it culminates with complex products such as credit options, synthetic tranches, CDOs based on bank loans and asset-backed securities, and CDO-squareds. Written by experienced practitioners who have participated in this market since its infancy, each of the thirteen chapters introduces and analyzes a new product and explains its practical applications. A rich set of real-life case studies illustrate the application of each product in a concrete market setting. The book may be used in a semester-long course on structured credit as part of a business or finance curriculum. Whether you are a market professional, a university student or faculty member, or simply a financially savvy layperson, look no further for an up-to-date and thorough introduction to this rapidly growing and exciting field. Dr. Arvind Rajan, Managing Director, Citigroup Global Markets, is engaged in proprietary trading of Structured Credit products, and until recently, was global head of Structured Credit Research and Strategy at Citigroup. Glen McDermott (New York, NY) is Director of Fixed Income Sales and the former head of CDO Research at Citigroup Global Markets Inc. Ratul Roy is head of CDO Strategy for Citigroup Global Markets and has spent the prior nine years in structuring or analyzing CDOs and other structured credit products.
An Introduction to Credit Derivatives by Moorad Choudhry Pdf
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
Mark J. P. Anson,Frank J. Fabozzi,Moorad Choudhry,Ren-Raw Chen
Author : Mark J. P. Anson,Frank J. Fabozzi,Moorad Choudhry,Ren-Raw Chen Publisher : John Wiley & Sons Page : 353 pages File Size : 44,7 Mb Release : 2004-02-01 Category : Business & Economics ISBN : 9780471652380
Credit Derivatives by Mark J. P. Anson,Frank J. Fabozzi,Moorad Choudhry,Ren-Raw Chen Pdf
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 Structured Credit by Richard Bruyere,Regis Copinot,Loic Fery,Christophe Jaeck,Thomas Spitz Pdf
Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps – the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market A clearly-written, pedagogical book with numerous illustrations Detailed review of real-case transactions A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends
The Handbook of Credit Risk Management by Sylvain Bouteille,Diane Coogan-Pushner Pdf
Discover an accessible and comprehensive overview of credit risk management In the newly revised Second Edition of The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, veteran financial risk experts Sylvain Bouteillé and Dr. Diane Coogan-Pushner deliver a holistic roadmap to credit risk management (CRM) ideal for students and the busy professional. The authors have created an accessible and practical CRM resource consistent with a commonly implemented risk management framework. Divided into four sections—Origination, Credit Assessment, Portfolio Management, and Mitigation and Transfer—the book explains why CRM is critical to the success of large institutions and why organizational structure matters. The Second Edition of The Handbook of Credit Risk Management also includes: Newly updated and enriched data, charts, and content Three brand new chapters on consumer finance, state and local credit risk, and sovereign risk New ancillary material designed to support higher education and bank credit training educators, including case studies, quizzes, and slides Perfect for risk managers, corporate treasurers, auditors, and credit risk underwriters, this latest edition of The Handbook of Credit Risk Management will also prove to be an invaluable addition to the libraries of financial analysts, regulators, portfolio managers, and actuaries seeking a comprehensive and up-to-date guide on credit risk management.
Brian P. Lancaster,Glenn M. Schultz,Frank J. Fabozzi
Author : Brian P. Lancaster,Glenn M. Schultz,Frank J. Fabozzi Publisher : John Wiley & Sons Page : 545 pages File Size : 54,7 Mb Release : 2008-06-20 Category : Business & Economics ISBN : 9780470369234
Structured Products and Related Credit Derivatives by Brian P. Lancaster,Glenn M. Schultz,Frank J. Fabozzi Pdf
Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.
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.
Mastering Credit Derivatives by Andrew Kasapis Pdf
This second edition of Mastering Credit Derivatives has been completely revised to include new movements in the world of finance. The first part of the book is set aside as a condensed, updated version of the previous edition whereas the next two thirds are dedicated to recent innovations such as Structured Credit Derivatives and Greeks and Tranche Sensitivity. The book is written on a purely ‘need to know’ basis, avoiding the archaic, theoretical and excessively mathematical concepts. Input from market practitioners offers valuable insight into where they believe the market is headed in the future. Derivatives is a huge area, thought to be worth trillions of pounds. With new products being constantly introduced, it is important to keep up-to-date with its rapid growth.
The Handbook of Credit Risk Management by Sylvain Bouteille,Diane Coogan-Pushner Pdf
A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.
Author : Robert J. Schwartz,Clifford W. Smith Publisher : John Wiley & Sons Page : 766 pages File Size : 51,9 Mb Release : 1997-05-23 Category : Business & Economics ISBN : 0471157651
Derivatives Handbook by Robert J. Schwartz,Clifford W. Smith Pdf
Der schlechte Ruf der Derivative gründet sich auf Mißbrauch und das hohe Risiko, das mit diesem oft exotisch wirkenden Finanzinstrument verbunden ist. Sie wollen sich unvoreingenommen, besser informieren? Anhand signifikanter Fallstudien führt dieses Buch Sie unter anderem in Techniken des Risikomanagement und Kontrollstrukturen ein.