Résumé
Credit derivatives have emerged as a significant area in
global derivatives and risk management practice. These
instruments have begun to revolutionize the management of
credit risk in banking and capital markets. This book
clearly explains how to structure and apply these products
to solve risk management problems as well as how to price
and value these instruments. Readers will find the Second
Edition completely up-to-date with the latest information
in the field. New topics have been added, including
credit-linked notes, pricing models, default statistics,
credit portfolio management, regulatory framework for
credit derivatives, and market developments and prospects.
This edition reflects the rapid evolution in the market and
new contributors provide additional insight that readers
will find beneficial.
Contents
PRODUCTS AND STRUCTURES.
- Credit Derivative Products (S. Das).
- Credit Linked Notes - Structured Notes (S. Das).
- Credit Linked Notes - Repackaged Notes and Repackaging
Vehicles (S. Das).
- Credits Linked Notes - Portfolio Securitization
Structures (S. Das).
APPLICATIONS.
- Applications of Credit Derivatives (S. Das).
PRICING AND VALUATION ISSUES.
- Pricing Credit Derivatives - Overview (S. Das).
- Using Default Rates to Model Term Structures of Credit
Risk (J. Fons).
- Analytics and Algorithms for Credit Derivatives (H.
Stedman).
- Modeling Default Risk (P. Crosbie).
- Historical Defaults and Recoveries for Corporate Bonds
(S. Keenan, et al.).
- Credit Rating Dynamics: Moody's Watchlist, Rating
Migration, and Credit Quality Correlation (S. Keenan, et
al.).
CREDIT PORTFOLIO MANAGEMENT.
- Credit Risk Portfolio Models - A Comparison (A.
Hickman).
- CreditMetricsTM: Assessing the Marginal Risk
Contribution of Credit (G. Gupton).
CREDITRISK+TM (T. Wilde).
MARKETS.
- The Market for Credits Derivatives (R. Reoch).
RATING, DOCUMENTATION ACCOUNTING, AND TAXATION ISSUES.
- Ratings Implications for Credits Derivatives (N.
Anderson).
- Documentation and Legal Issues (C. Whiteley).
- Accounting and Taxation Implications of Credit
Derivatives (PricewaterhouseCoopers).
- Regulatory Framework for Credit Derivatives (S.
Das).
CONCLUSIONS.
- Credit Derivatives - The Evolution of the Market (S.
Das).
- Index.
L'auteur - Satyajit Das
Satyajit Das is an international specialist in the area of financial derivatives and risk management and capital markets. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia. He acts as a consultant to financial institutions and corporations on derivatives and financial products, risk management, and capital markets issues.Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets, specialising in fund raising in domestic and international capital markets and risk management/ derivative products. In 1987, Das was a Visiting Fellow at the Centre for Studies in Money, Banking and Finance, Macquarie University.Das holds Bachelors' degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters degree in Business Administration from the Australian Graduate School of Management.
Autres livres de Satyajit Das
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Wiley |
| Auteur(s) | Satyajit Das |
| Parution | 01/11/2000 |
| Nb. de pages | 940 |
| Format | 16 x 24 |
| Couverture | Relié |
| Poids | 1535g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780471840312 |
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