Pub. Date:
Elsevier Science
Understanding Credit Derivatives and Related Instruments / Edition 1

Understanding Credit Derivatives and Related Instruments / Edition 1

by Antulio N. Bomfim


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Product Details

ISBN-13: 9780121082659
Publisher: Elsevier Science
Publication date: 12/20/2004
Series: Academic Press Advanced Finance Series
Edition description: New Edition
Pages: 368
Product dimensions: 0.94(w) x 9.00(h) x 6.00(d)

About the Author

Antulio N. Bomfim is a Portfolio Manager at OFI Institutional Asset Management in Boston,
Massachusetts, a subsidiary of OppenheimerFunds Inc.,
where he is a Portfolio Manager and Vice President. In addition to his interests in credit derivatives, he has researched and published articles on various aspects of finance and macroeconomics. He was previously a Senior Economist at the Board of Governors of the Federal Reserve System in Washington, DC. Dr. Bomfim received his M.A. and Ph.D. in Economics at the University of Maryland and his M.Sc.
in Mathematical Finance at the University of Oxford.

Table of Contents

1 Credit Derivatives: A Brief Overview
2 The Credit Derivatives Market
3 Main Uses 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
11 Principal-Protected Structures
12 Credit-Linked Notes
13 Repackaging Vehicles
14 Synthetic CDOs
15 Valuing Defaultable Bonds
16 The Credit Curve
17 Main Credit Modeling Approaches
18 Valuing of Credit Options
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
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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