Handbook Of Credit Derivatives PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Handbook Of Credit Derivatives PDF full book. Access full book title Handbook Of Credit Derivatives.
| Author | : Alexander Lipton |
| Publisher | : OUP Oxford |
| Total Pages | : 704 |
| Release | : 2013-01-17 |
| Genre | : Business & Economics |
| ISBN | : 0191648256 |
Download The Oxford Handbook of Credit Derivatives Book in PDF, ePub and Kindle
From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts
| Author | : Janet M. Tavakoli |
| Publisher | : John Wiley & Sons |
| Total Pages | : 328 |
| Release | : 2001-07-16 |
| Genre | : Business & Economics |
| ISBN | : 9780471412663 |
Download Credit Derivatives and Synthetic Structures Book in PDF, ePub and Kindle
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.
| Author | : Richard Bruyere |
| Publisher | : John Wiley & Sons |
| Total Pages | : 294 |
| Release | : 2006-06-14 |
| Genre | : Business & Economics |
| ISBN | : 0470026235 |
Download Credit Derivatives and Structured Credit Book in PDF, ePub and Kindle
Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps – the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market A clearly-written, pedagogical book with numerous illustrations Detailed review of real-case transactions A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends
| Author | : Moorad Choudhry |
| Publisher | : Butterworth-Heinemann |
| Total Pages | : 173 |
| Release | : 2012-12-31 |
| Genre | : Business & Economics |
| ISBN | : 0080982980 |
Download An Introduction to Credit Derivatives Book in PDF, ePub and Kindle
The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision. Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance. A post-crisis guide to a powerful bank risk management product, its history and its use Liberal use of Bloomberg screens and new worked examples increase hands-on practicality New online set of CDS pricing models and other worksheets multiply the book's uses
| Author | : Jack Clark Francis |
| Publisher | : McGraw-Hill Companies |
| Total Pages | : 0 |
| Release | : 1999 |
| Genre | : Business & Economics |
| ISBN | : 9780070225886 |
Download Handbook of Credit Derivatives Book in PDF, ePub and Kindle
For financial professionals, credit derivatives are uniquely powerful tools to manage credit risk--tools that are less costly and more effective than traditional methods. Investors, on the other hand, appreciate the efficiency with which they can use credit derivatives to easily access different sectors of the credit markets. Regardless of your perspective, The Handbook of Credit Derivatives will give you expert knowledge and insights into credit-derivatives, arm you with the latest professional tactics and techniques for pricing and evaluating these versatile securities, and help you get your arms around today's most exciting, rewarding risk management and investment tool. Book jacket.
| Author | : Greg N. Gregoriou |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 435 |
| Release | : 2008-07-31 |
| Genre | : Business & Economics |
| ISBN | : 0071549536 |
Download Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers Book in PDF, ePub and Kindle
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 structuring Pricing of credit default swaps and synthetic CDOs Design of synthetic CDOs Copula models, with illustrative examples Credit derivatives in investment portfolios Opportunities 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.”
| Author | : Antulio N. Bomfim |
| Publisher | : Academic Press |
| Total Pages | : 421 |
| Release | : 2015-11-23 |
| Genre | : Business & Economics |
| ISBN | : 0128004908 |
Download Understanding Credit Derivatives and Related Instruments Book in PDF, ePub and Kindle
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
| Author | : Niklas Wagner |
| Publisher | : CRC Press |
| Total Pages | : 600 |
| Release | : 2008-05-28 |
| Genre | : Business & Economics |
| ISBN | : 1584889950 |
Download Credit Risk Book in PDF, ePub and Kindle
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio
| Author | : Brian P. Lancaster |
| Publisher | : John Wiley & Sons |
| Total Pages | : 545 |
| Release | : 2008-06-20 |
| Genre | : Business & Economics |
| ISBN | : 047036923X |
Download Structured Products and Related Credit Derivatives Book in PDF, ePub and Kindle
Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.
| Author | : Dominic O'Kane |
| Publisher | : John Wiley & Sons |
| Total Pages | : 515 |
| Release | : 2011-03-08 |
| Genre | : Business & Economics |
| ISBN | : 1119995442 |
Download Modelling Single-name and Multi-name Credit Derivatives Book in PDF, ePub and Kindle
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.
