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Description of Credit Derivatives

Credit derivatives are the newest entrant to the world of derivatives - and they have quickly become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives: Instruments, Applications, and Pricing provides an in-depth explanation of this risk management tool, which has been increasingly used to manage credit risk in banking and capital markets.

In this comprehensive text, Mark J.P. Anson, Frank J. Fabozzi, Moorad Choudhry, and Ren-Raw Chen cover everything, from the basics of why credit risk is important, to accounting and tax implications of credit derivatives. Key topics discussed in this essential guidebook include:

- Types of credit risk
- Credit default swaps
- Credit-linked notes
- Synthetic collateralized debt obligation structures
- Credit risk modeling: structural models and reduced form models
- Options and forwards on credit-related spread products
- Pricing of credit default swaps


Using Bloomberg screens, illustrative examples, basic investment theory, and mathematics, Credit Derivatives covers the real-world practice and applications of credit derivatives products.

Title Information

ISBN:

9780471466000

Pages:

342 pages

Format:

Hardback

Product Code:

19523

Publisher:

John Wiley & Sons Ltd

Published:

29/01/2004

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About Mark J. Anson PhD, CFA and Frank J. Fabozzi CFA and Moorad Choudhry and Ren– and Raw Chen

MARK J.P. ANSON, PhD, CFA, is the Chief Investment Officer at CalPERS and is a frequent contributor to academic and professional publications on the topics of risk management, derivatives, and portfolio management.

FRANK J. FABOZZI, PhD, CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, a Fellow of the International Center for Finance at Yale University, and Editor of the Journal of Portfolio Management.

MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UK Limited, and a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.

REN-RAW CHEN, PhD, is an Associate Professor of Finance at Rutgers University School of Business (New Brunswick), a frequent contributor to major academic finance journals, and a speaker at many academic conferences.

Contents of Credit Derivatives

Preface
About the Authors

1. Introduction
2. Types of Credit Risk
3. Credit Default Swaps
4. Asset Swaps and the Credit Default Swap Basis
5. Total Return Swaps
6. Credit-Linked Notes
7. Synthetic Collateralized Debt Obligation Structures
8. Credit Risk Modeling: Structural Models
9. Credit Risk Modeling: Reduced Form Models
10. Pricing of Credit Default Swaps
11. Options and Forwards on Credit-Related Spread Products
12. Accounting for Credit Derivatives
13. Taxation of Credit Derivatives

Index