Credit Derivatives

Author: George Chacko
Publisher: Pearson Education
ISBN: 0132715929
Size: 28.75 MB
Format: PDF, Mobi
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Credit Derivatives from the Author: George Chacko. The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.

Understanding Credit Derivatives And Related Instruments

Author: Antulio N. Bomfim
Publisher: Academic Press
ISBN: 0128004908
Size: 35.46 MB
Format: PDF, ePub
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Understanding Credit Derivatives And Related Instruments from the Author: Antulio N. Bomfim. Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more

Modelling Single Name And Multi Name Credit Derivatives

Author: Dominic O'Kane
Publisher: John Wiley & Sons
ISBN: 9781119995449
Size: 48.65 MB
Format: PDF, ePub, Mobi
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Modelling Single Name And Multi Name Credit Derivatives from the Author: Dominic O'Kane. Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.

Credit Derivatives And Synthetic Structures

Author: Janet M. Tavakoli
Publisher: John Wiley & Sons
ISBN: 9780471412663
Size: 73.87 MB
Format: PDF
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Credit Derivatives And Synthetic Structures from the Author: Janet M. Tavakoli. Fully revised and updated Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures. "If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book." --Merton H. Miller, winner, Nobel Prize in Economics, 1990 "Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.

Introduction To Credit Risk Modeling Second Edition

Author: Christian Bluhm
Publisher: CRC Press
ISBN: 1584889934
Size: 72.82 MB
Format: PDF, Docs
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Introduction To Credit Risk Modeling Second Edition from the Author: Christian Bluhm. Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modeling, Second Edition presents updates on model developments that have occurred since the publication of the best-selling first edition. New to the Second Edition An expanded section on techniques for the generation of loss distributions Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital A new section on multi-period models Recent developments in structured credit The financial crisis illustrated the importance of effectively communicating model outcomes and ensuring that the variation in results is clearly understood by decision makers. The crisis also showed that more modeling and more analysis are superior to only one model. This accessible, self-contained book recommends using a variety of models to shed light on different aspects of the true nature of a credit risk problem, thereby allowing the problem to be viewed from different angles.

Mastering Credit Derivatives

Author: Andrew Kasapis
Publisher: Pearson Education
ISBN: 9780273714859
Size: 37.25 MB
Format: PDF, Kindle
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Mastering Credit Derivatives from the Author: Andrew Kasapis. The up-to-date, comprehensive, easy-to-understand guide to credit derivatives: practical information for professionals. bull; Thoroughly revised, with entirely new sections on structured credit derivatives, Greeks, and tranche sensitivity. bull; Includes crucial new insights into how the subprime mortgage crisis has affected the creation and sale of credit derivatives. bull; Designed to help financial professionals succeed with derivatives, regardless of their responsibilities or current market conditions.

Synthetic Cdos

Author: C. C. Mounfield
Publisher: Cambridge University Press
ISBN: 0521897882
Size: 48.66 MB
Format: PDF, Mobi
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Synthetic Cdos from the Author: C. C. Mounfield. Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.

Credit Risk Modeling

Author: David Lando
Publisher: Princeton University Press
ISBN: 1400829194
Size: 61.83 MB
Format: PDF, Mobi
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Credit Risk Modeling from the Author: David Lando. Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Credit Risk Modeling Valuation And Hedging

Author: Tomasz R. Bielecki
Publisher: Springer Science & Business Media
ISBN: 9783540675938
Size: 46.48 MB
Format: PDF, ePub
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Credit Risk Modeling Valuation And Hedging from the Author: Tomasz R. Bielecki. The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

The Mathematics Of Financial Modeling And Investment Management

Author: Sergio M. Focardi
Publisher: John Wiley & Sons
ISBN: 0471674230
Size: 61.95 MB
Format: PDF
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The Mathematics Of Financial Modeling And Investment Management from the Author: Sergio M. Focardi. the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.