Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers
McGraw-Hill Professional (Verlag)
9780071549523 (ISBN)
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The world’s leading financial thinkers share their insights into the latest developments in credit derivatives
In The Credit Derivatives Handbook, some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds.
You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as:
Key products, applications, and typical trades, hedging and credit structuringPricing of credit default swaps and synthetic CDOsDesign of synthetic CDOsCopula models, with illustrative examplesCredit derivatives in investment portfoliosOpportunities for structuring credit derivatives in accordance with Islamic finance
Comprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider “one of the most important financial innovations of recent times.”
Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at the State University of New York, Plattsburgh. He holds a Ph.D. in finance from the University of Quebec in Montreal. Gregoriou specializes in hedge funds, funds of hedge funds, and managed futures. He has published 26 books and over 50 journal articles. He is also hedge fund editor for the peer-reviewed publication Journal of Derivatives and Hedge Funds and editorial board member of the Journal of Wealth Management and the Journal of Risk Management in Financial Institutions. Paul U. Ali is an Associate Professor in the Faculty of Law at the University of Melbourne, Australia, and a member of its Centre for Corporate Law and Securities Regulation. Previously, he practiced law in Sydney. Ali has published numerous books and articles on banking and finance law, corporate governance and institutional investment law, securitization law, and structured finance law.
Part One: Innovations in Credit Derivatives
1.The Changing Face of Default Swaps
2. Islamic Credit derivatives
3. Credit Derivatives and the Resolution of Financial Distress
4. Asymmetric Information and Opacity in Credit Derivatives Markets
Part Two: Price Credit Default Swaps
5. Pricing Credit Derivatives with a Copula-Based Actuarial Model for Credit Risk
6. Alternative Implementation methods for CDS Pricing
7. A Unified Approach to the Theory of Default Risk & Credit Derivatives
8. Investigating Some Link between Credit Default Swap Spreads & US Financial Markets
Part Three: Design & Pricing of CDOs
9. On the design of CDOs: Bundling or Separation?
10. On the Pricing of CDOs
11. Pricing Forward Starting CDOs using Dynamic Copula Processes
12. Idiosyncratic and Systematic Risk in the European Corporate Sector
13. Default Configuration in large Homogeneous Portfolios
Part Four: Asset Allocation and Credit Derivatives
14. Hedge Funds and the Global Market for Credit Derivatives
15. An Asset Allocation Problem with Credit Derivatives
16. Funds of CDO Tranches: Risk Management and Pricing Methodologies
| Erscheint lt. Verlag | 16.8.2008 |
|---|---|
| Reihe/Serie | McGraw-Hill Finance & Investing |
| Zusatzinfo | 100 Illustrations |
| Sprache | englisch |
| Maße | 160 x 226 mm |
| Gewicht | 748 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| ISBN-13 | 9780071549523 / 9780071549523 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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