Structured Credit Products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralised debt obligations. The book features: * Detailed product descriptions and analysis * Case studies on US, European and Asian transactions * Latest developments in synthetic structures. Written in an accessible style by an acclaimed author in the field of finance, this book is aimed at the entire banking, securitisation and fund management market.
PART I: Credit risk and credit derivative instruments
1. Credit Risk
2. Credit Derivatives I
3. Credit Derivatives II
4. Credit Derivatives III: Basic Applications
5. Pricing
6. CDS Pricing
7. The CDS Basis I
8. The CDS Basis II
PART II: Structured Credit Products and Synthetic Securitisation
9. An Introduction to Securitisation
10. Synthetic CDOs I
11. Multi-SPV Hybrid Structure
12. Synthetic CDO Risk and Returns
13. CDO pricing
14. Synthetic MBS
Glossary
Index
About Moorad Choudhry
Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank. Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.
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