Mastering Credit Derivatives
Financial Times Prentice Hall (Verlag)
978-0-273-71485-9 (ISBN)
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The book is written on a purely ‘need to know’ basis, avoiding the archaic, theoretical and excessively mathematical concepts.
Input from market practitioners offers valuable insight into where they believe the market is headed in the future. Derivatives is a huge area, thought to be worth trillions of pounds. With new products being constantly introduced, it is important to keep up-to-date with its rapid growth.
Andrew Kasapis has sold credit derivatives products from the front office since 1998 (the very beginning of the inter bank market) and more recently has sold structured credit products for major institutional sales boutiques. He is a Market Risk Analyst for tier 1 banks through his consulting company Credit Hedge Ltd.
Mastering Credit Derivatives, 2e
Part 1:- Introduction to Credit Derivatives & Applications
Chapter 1:- Introduction to Credit Derivatives
Exhibit 1:-Credit Default Swaps
Exhibit 2:-CLNs
Exhibit 3-TROR Swaps
Chapter 2 :-Credit Derivatives & Applications
Exhibit 1:-Credit Default Swap Applications, Balance Sheet, Hedging, curve credit views
Exhibit 2:-CLNs Applications
Exhibit 3-TROR Swaps applications, Balance Sheet
Chapter 3:-CDS Basis
Chapter 4:-Pricing CDS
Chapter 4:-ISDA Documentation & Basel II Credit Derivatives Regulations
Part 2 Structured Credit Derivatives
Chapter 6:-Traunched Indices
Credit Default Swap Indices
Exhibit 1:-DJ CDX Investment Grade Index
Important Characteristics of Benchmark Indices
Determining the upfront payments
Impact of Defaults on Index Cashflows
Exhibit 2:-Impact on Default on Index
Traunches of Standard Default Swap Indices
Important characteristics of benchmark traunches
Exhibit 3:-Traunched DJ CDX NA IG
Exhibit 4:-Credit Index CPPI strategies
Chapter 7:- What is Correlation?
“One mans delta is another man’s correlation”
-Chris Boas
Introduction
Exhibit 1:-Portfolio Volatility Affected by Correlation
Correlation In Structured Credit Markets
Observing Default Correlation
The Hidden Meaning of Correlation in Credit Markets
Exhibit 2:-Correlation Affects the Relationship Between Volatility and Portfolio size
Exhibit 3:-Valuation in structured credit markets
Exhibit 4:-Correlation Creates Portfolio loss Distribution with fatter tails
Exhibit 5:-Implied Compound and Base Correlation
Exhibit 6:-correlation Sensitivity varies with seniority
Exhibit 7:-Traunche Equivalence – Long/short combinations
Chapter 8:-First-to-Default Baskets
Overview of Default Basket Primer
Exhibit 1:-First to Default Swap
Exhibit 2:-Basket Default Swap Premium Depends on Correlation
First-to-default basket: Investor Motivation
Exhibit 3 Investor Motivation for Basket Trading
Mergers & FTD Baskets
Exhibit 4:-Replacement language matters – Impact of a hypothetical merger between Credits 1 & 2.
Exhibit 5:-What is the impact of a Merger Worth?
Funded Baskets
Example: Ex-HiVol First to Default Basket
Ex HiVol Benchmark First to Default Basket
Chapter 9:-Cash CDO’s
Introduction
Exhibit 1:-Growth in CDO issuance
Exhibit 2:-CDO’s in the context of overall ABS Market
Exhibit:-A Comparison of collateral composition of CDO Issuance 1998 and 2004
What are Cash CDO’s?
How do Cash CDO’s work?
Exhibit 3:- How a typical Cash CDO works
Cash CDOs: A taxonomy
Understanding the basics of CDO equity returns
Rating of CDOs
Analytical Challenges in modelling cash CDOs
Chapter 10:-Synthetic CDO’s
Introduction
Exhibit 1:-Global Total Synthetic CDO Issuance
What are Synthetic CDO’s?
Exhibit 2:-How a typical CDS works
Exhibit 3:-How a typical Synthetic CDO works
Attachm
| Erscheint lt. Verlag | 16.12.2008 |
|---|---|
| Reihe/Serie | The Mastering Series |
| Verlagsort | Harlow |
| Sprache | englisch |
| Maße | 171 x 241 mm |
| Gewicht | 630 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| ISBN-10 | 0-273-71485-6 / 0273714856 |
| ISBN-13 | 978-0-273-71485-9 / 9780273714859 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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