Updated coverage of structured credit products with in-depth coverage of the latest developments
Structured credit products are one of today’s fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown, along with models and teaching aids.
Moorad Choudhry returns with this excellent update of the credit derivatives market. The second edition of his classic work is, like the subject matter itself, at the forefront of the financial industry. It deserves a wide readership.
–Dr Didier Joannas
Regional Director, Thomson Reuters, Hong Kong
This is the perfect companion for both experienced and entry level professionals working in the structured credit fraternity. It is an erudite, insightful and enjoyable read that successfully demystifies one of the most topical subject areas in banking today, while also providing important practical examples that link the theory to the job itself.
–Dr James Berriman
Global Pricing Unit, Royal Bank of Scotland
Moorad Choudhry has earned a deserved reputation from both academics and practitioners as one of the leading practical yet rigorous authors of finance books. In this Second Edition, his practical knowledge of credit derivatives keeps the audience engaged with straightforward explanations of complicated structures, and an accessible level of mathematical sophistication necessary to understand structured credit products. The author offers complete, rigorous analysis while avoiding overuse of mathematical formulas and carefully balanced practical and theoretical aspects of the subject. I strongly recommend this book for those wishing to gain an intuitive understanding of structured credit products, from practitioners to students of finance!
–Mohamoud Barre Dualeh
Senior Product Developer, Abu Dhabi Commercial Bank, UAE
This is THE book for credit derivative trading. From first steps to advanced trading strategies, this is invaluable. Well written and insightful, perfect for ad hoc reference or reading cover to cover.
–Andrew Benson
ETF Market Making, KBC Peel Hunt, London
Professor Choudhry has inspired me to really get into credit derivatives. It’s great to be lectured by someone with such energy and practical hands-on experience, as well as the ability to get stuck into the details.
–George Whicheloe
Equity-Linked Technology, Merrill Lynch, London
Moorad Choudhry is Head of Treasury at Europe Arab Bank plc in London. He is a Visiting Professor at the Department of Economics at London Metropolitan University.
Table des matières
Foreword Professor Darrell Duffie, Stanford University xi
Preface xv
Acknowledgements xix
About the Author xxi
Prologue The 2007-2008 credit and liquidity crunch: Impact on structured credit markets 1
Part I Credit risk and credit derivative instruments 21
Chapter 1 Credit risk 27
Chapter 2 Credit derivatives I: Unfunded instruments 57
Chapter 3 Credit derivatives II: Funded instruments 163
Chapter 4 Credit analysis and relative value measurement 185
Chapter 5 Credit derivatives III: Applications 203
Chapter 6 Credit derivatives pricing and valuation 227
Chapter 7 Credit default swap pricing 251
Chapter 8 The asset swap–credit default swap basis I: The asset swap pricing of credit default swaps 281
Chapter 9 The credit default swap basis II: Analysing the relationship between cash and synthetic markets 293
Chapter 10 Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades 343
Chapter 11 Syndicated loans, loan-only credit default swaps and CDS legal documentation 371
Part II Structured credit products and synthetic securitisation 403
Chapter 12 An introduction to securitisation 405
Chapter 13 Synthetic collateralised debt obligations 445
Chapter 14 CDO valuation and cash flow waterfall models 507
Chapter 15 Synthetic conduits and credit derivative funding structures 533
Part III CD-R 559
Chapter 16 Files on the accompanying CD-R 561
Contributing authors 567
Afterword: Econometrics, finance and football 569
Glossary 575
Index 589
A propos de l’auteur
Moorad Choudhry is Head of Treasury at Europe Arab Bank plc
in London, and Visiting Professor at the Department of Economics,
London Metropolitan University.
He lives in Surrey, England.
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