Understanding Credit Derivatives

and Related Instruments

Antulio N. Bomfim - Collection Advanced Finance Series

340 pages, parution le 31/01/2005

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Résumé

"This enjoyable book on credit derivatives will be useful to both students of finance and practitioners. Bomfim does for credit what Hull does for options, futures and other derivatives."

--Kay Giesecke, Visiting Assistant Professor, School of Operations Research and Industrial Engineering, Cornell University

Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.

Features and Benefits

Offers a broad overview of this growing field
Discusses all the main types of credit derivatives
Provides back-of-the-book summary of statistics and fixed-income mathematics

L'auteur - Antulio N. Bomfim

Antulio Bomfim: Portfolio Manager, OFI Institutional Asset Management, Boston, MA, a subsidiary of OppenheimerFunds Inc.

Sommaire

Credit Derivatives: Definition, Market, Uses
- 1 Credit Derivatives: A Brief Overview
- 2 The Credit Derivatives Market
- 3 Main Uses of Credit Derivatives
Main Types of Credit Derivatives
- 4 Floating-Rate Notes
- 5 Asset Swaps
- 6 Credit Default Swaps
- 7 Total Return Swaps
- 8 Spread and Bond Options
- 9 Basket Default Swaps
- 10 Portfolio Default Swaps 129
- 11 Principal-Protected Structures
- 12 Credit-Linked Notes
- 13 Repackaging Vehicles
- 14 Synthetic CDOs 161
Introduction to Credit Modeling I: Single-Name Defaults
- 15 Valuing Defaultable Bonds
- 16 The Credit Curve
- 17 Main Credit Modeling Approaches
- 18 Valuing of Credit Options
Introduction to Credit Modeling II: Portfolio Credit Risk
- 19 The Basics of Portfolio Credit Risk
- 20 Valuing Basket Default Swaps
- 21 Valuing Portfolio Swaps and CDOs
- 22 A Quick Tour of Commercial Models
- 23 Modeling Counterparty Credit Risk
A Brief Overview of Documentation and Regulatory Issues
- 24 Anatomy of a CDS Transaction
- 25 A Primer on Bank Regulatory Issues
- Appendix A Basic Concepts from Bond Math
- Appendix B Basic Concepts from Statistics

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Academic Press
Auteur(s)	Antulio N. Bomfim
Collection	Advanced Finance Series
Parution	31/01/2005
Nb. de pages	340
Format	16 x 24
Couverture	Broché
Poids	680g
Intérieur	Noir et Blanc
EAN13	9780121082659
ISBN13	978-0-12-108265-9