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
Über den Autor
RICHARD BRUYERE, a partner of Finance Concepts (capital
markets and risk management consulting), is a former credit
derivatives professional with experience in marketing, trading and
structuring credit derivatives with SG and Credit Suisse First
Boston. He is the author of Produits drivs de crdit
(Economical: 1998, 2004).
RAMA CONT is a research scientist at Centre de
Mathématiques Appliques, Ecole Polytechnique (France) and
founding partner of Finance Concepts. He is the author of
several research articles in quantitative finance and co-author of
Financial modelling with jump processes (CRC Press, 2003)
and Produits drivs de crdit (Economica: 2004).
RGIS COPINOT is a Managing Director in Socite Gnrales
Credit trading department specialist in non-investment grade
credits. He has worked on derivatives products since 1992 in the
London markets first in the field of Commodities Options (1992)
later in Interest Rates Options (1994) and since 1998 in Credit
Derivatives. Rgis Copinot is graduated from Ecole Centrale Paris.
He is a co-author of Produits drivs de crdit (Economica:
2004).
LOC FERY is managing director in the Capital Markets
division of Calyon. He is in charge of the global Structured Credit
& CDO product-line, which includes correlation trading, as well
as Cash and Synthetic CDO structuring. Loc Fery is graduated from
HEC (Paris).
CHRISTOPHE JAECK joined Socit Gnrale credit derivatives
department in 1998. In charge of structured operations on balance
sheet management (synthetic CLOs) until 2001, he is now Head of
synthetic CDOs activity development in Europe. Christophe Jaeck is
a graduate from ENSAE.
THOMAS SPITZ began his career in Socit Gnrale as a credit
derivatives trader. He joined Crdit Agricole Indosuez in 2001 as
Head of Credit derivatives trading both on Europe and the United
States. Since 2004, in Calyon, he is the Head of Trading and Risk
Management team for the Structured Credit, Deivatives & CDO
Group. Thomas Spitz is a graduate from ENSAE.
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