An essential guide to credit derivatives
Credit derivatives has become one of the fastest-growing areas ofinterest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of aninvestment tool that has been increasingly used to manage creditrisk in banking and capital markets. Anson discusses everythingfrom the basics of why credit risk is important to accounting andtax implications of credit derivatives. Key topics covered in thisessential guidebook include: credit swaps; credit forwards; creditlinked notes; and credit derivative pricing models. Anson alsodiscusses the implications of credit risk management as well ascredit derivative regulation. Using charts, examples, basicinvestment theory, and elementary mathematics, Credit Derivativesillustrates the real-world practice and applications of creditderivatives products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officerat Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.
Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Credit derivatives has become one of the fastest-growing areas ofinterest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of aninvestment tool that has been increasingly used to manage creditrisk in banking and capital markets. Anson discusses everythingfrom the basics of why credit risk is important to accounting andtax implications of credit derivatives. Key topics covered in thisessential guidebook include: credit swaps; credit forwards; creditlinked notes; and credit derivative pricing models. Anson alsodiscusses the implications of credit risk management as well ascredit derivative regulation. Using charts, examples, basicinvestment theory, and elementary mathematics, Credit Derivativesillustrates the real-world practice and applications of creditderivatives products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officerat Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.
Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
€71.99
Innehållsförteckning
Preface.About the Authors.
Chapter 1. Introduction.
Chapter 2. Types of Credit Risk.
Chapter 3. Credit Default Swaps.
Chapter 4. Asset Swaps and the Credit Default Swap Basis.
Chapter 5. Total Return Swaps.
Chapter 6. Credit-Linked Notes.
Chapter 7. Synthetic Collateralized Debt Obligation Structures.
Chapter 8. Credit Risk Modeling: Structural Models.
Chapter 9. Credit Risk Modeling: Reduced Form Models.
Chapter 10. Pricing of Credit Default Swaps.
Chapter 11. Options and Forwards on Credit-Related Spread Products.
Chapter 12. Accounting for Credit Derivatives.
Chapter 13. Taxation of Credit Derivatives.
Index.
Om författaren
MARK J.P. ANSON, Ph D, CFA, is the Chief Investment Officer at Cal PERS and is a frequent contributor to academic and professionalpublications on the topics of risk management, derivatives, andportfolio management.FRANK J. FABOZZI, Ph D, CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, a Fellow of the International Center for Finance at Yale University, and Editor of the Journal of Portfolio Management.
MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UKLimited, and a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.
REN-RAW CHEN, Ph D, is an Associate Professor of Finance at Rutgers University School of Business (New Brunswick), a frequentcontributor to major academic finance journals, and a speaker atmany academic conferences.
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Språk Engelska ● Formatera PDF ● Sidor 288 ● ISBN 9780471652380 ● Filstorlek 7.2 MB ● Utgivare John Wiley & Sons ● Publicerad 2004 ● Nedladdningsbara 24 månader ● Valuta EUR ● ID 2328692 ● Kopieringsskydd Adobe DRM
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