Credit Derivatives: Applications In Risk Management outlines global trends, analyses the products and their uses in emerging markets, discusses the market’s participants and their application of credit derivative products, examines risk management in a credit derivatives business, accounting for credit derivatives, pricing, the impact of EMU, synthetic credit structures, rating methodologies, and the regulatory environment. Accounting, ratings, derivatives, securitisation, securitization, fixed income.
"... definitely an indispensable resource for institutional investors and other interested parties." - Sohail Jaffer, Chairman, AIMA.
Written by market professionals, this book is an accessible guide to this new generation of products. The book outlines global trends, analyses the products and their uses in emerging markets, discusses the market's participants and their application of credit derivative products, examines risk management in a credit derivatives business, accounting for credit derivatives, pricing, the impact of EMU, synthetic credit structures, rating methodologies, and the regulatory environment. (156 pages) Published in association with Barclays Capital, Helaba Landesbank Hessen-Thüringen; PricewaterhouseCoopers.
Table of Contents
CONTENTS
Author biographies viii
Introduction 1 Credit derivatives: a revolution in the financial markets
2 The distinctive features of credit spreads
3 Credit swaps
5 Total return swaps
6 Spread options
7 Credit-linked notes
8 The Chase Secured Loan Note: a case study
9 Conclusion and market outlook
Chapter 1 11 Credit derivatives in emerging markets: a product analysis
12 Access
12 Optimal exposure
12 Risk management
13 Structures and mechanics
13 Product analysis
Chapter 2 23 The market participants: applying credit derivatives
23 Introduction
24 Credit derivatives for commercial banks
27 Credit derivatives for investment banks
29 Credit derivatives for institutional investors
31 Credit derivatives for the insurance/reinsurance industry
32 Credit derivatives for corporates
34 Summary and outlook
Chapter 3 35 Risk management in a credit derivatives business
36 Types of credit derivatives
37 Sources of risk
44 The risk management process
51 Conclusion
Chapter 4 53 The pricing of credit derivatives
53 Credit risk and credit derivatives
54 Pricing a default swap
55 Pricing procedures
61 Pricing a credit spread option
62 Summary
Chapter 5 63 The convergence of the trading environment with the credit department
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