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The author presents case studies and practical illustrations from the market. The accompanying CD-R includes pricing models for credit derivatives synthetic CDO notes, diversity models and cash flow waterfalls.
About the Author.
Prologue: The 2007–2008 credit and liquidity crunch: Impact on structured credit markets.
PART I: Credit risk and credit derivative instruments.
CHAPTER 1: Credit risk.
CHAPTER 2: Credit derivatives I: Unfunded instruments.
CHAPTER 3: Credit derivatives II: Funded instruments.
CHAPTER 4: Credit analysis and relative value measurement.
CHAPTER 5: Credit derivatives III: Applications.
CHAPTER 6: Credit derivatives pricing and valuation.
CHAPTER 7: Credit default swap pricing.
CHAPTER 8: The asset swap—credit default swap basis I: The asset swap pricing of credit default swaps.
CHAPTER 9: The credit default swap basis II: Analysing the relationship between cash and synthetic markets.
CHAPTER 10: Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades.
CHAPTER 11: Syndicated loans, loan-only credit default swaps and CDS legal documentation.
PART II: Structured credit products and synthetic securitisation.
CHAPTER 12: An introduction to securitisation.
CHAPTER 13: Synthetic collateralised debt obligations.
CHAPTER 14: CDO valuation and cash flow waterfall models.
CHAPTER 15: Synthetic conduits and credit derivative funding structures.
PART III: CD-R.
CHAPTER 16: Files on the accompanying CD-R.
Afterword: Econometrics, finance and football . . . .