Credit Derivatives and Credit Linked Notes / Edition 2

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An updated and enhanced look at the management and trading of credit risk in terms of the markets, regulations, and nature of the product

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.

Satyajit Das (Singapore) is the author of several key financial books including Swap Financing; Swaps and Financial Derivatives: The Global Reference to Products, Pricing, Applications and Markets; and Exotic Options.

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Editorial Reviews

This reference work provides information on credit derivative products, applications, approaches to pricing and valuation, documentation, and accounting. It covers all the major credit derivation structures, including credit derivatives, credit linked notes, repackaging, and portfolio securitization. The regulatory framework is explained, and the implications of credit derivatives for banking and credit management are outlined. Examples of applications are included. An accompanying CD-ROM features supplementary material on managing credit portfolios. Annotation c. Book News, Inc., Portland, OR (
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Product Details

  • ISBN-13: 9780471840312
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 11/28/2000
  • Series: Wiley Finance Series
  • Edition description: Older Edition
  • Edition number: 2
  • Pages: 964
  • Product dimensions: 6.48 (w) x 9.17 (h) x 2.30 (d)

Meet the Author

Satyajit Das is an international specialist in the area of financial derivatives, risk management, capital markets and treasury management. He presents seminars on these subjects and acts as a consultant to a number of leading banks in Europe, North America, Asia and Australia.

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Table of Contents

List of Contributors.

About the Contributors.



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 -
Credit Portfolio Securitization Structures (S. Das).


Credit Derivatives -
Applications (S. Das).


Modeling Credit Risk /
Pricing Credit Derivative Instruments (S. Das).

Using Default Rates to Model Term Structure 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.).


Overview to Credit Risk Modeling (A. Hickman).

CreditMetrics(TM): Assessing the Marginal Risk Contribution of Credit (G. Gupton).



The Market for Credits Derivatives (R. Reoch).


Ratings Implications for Credits Derivatives (N. Anderson).

Documentation and Legal Issues (C. Whiteley).

Accounting for Credit Derivatives (PricewaterhouseCoopers).

Credit Derivatives and Credit Linked Notes -
Regulatory Treatment (S. Das).


Credit Derivatives and Credit Risk Management -
Evolution and Prospects (S. Das).


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