Book description
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
Table of contents
- Cover image
- Title page
- Table of Contents
- Copyright
- Dedication
- About the Author
- Foreword
- Preface
- Preface to the First Edition
- Chapter 1. Credit Risk
-
Chapter 2. Credit Derivative Instruments: Part I
- 2.1 Credit Risk and Credit Derivatives
- 2.2 Credit Derivative Instruments
- 2.3 Credit Default Swaps
- 2.4 Asset swaps
- 2.5 Total Return Swaps
- 2.6 Index CDS: The iTraxx Index
- 2.7 Settlement
- 2.8 Risks in Credit Default Swaps
- 2.9 Impact of the 2007–2008 Financial Crash: New CDS Contracts and the CDS ‘Big Bang’
- References
- Appendices
- Chapter 3. Credit Derivative Instruments: Part II
- Chapter 4. Credit Derivatives: Basic Applications11Part of this chapter first appeared in Choudhry (2000).
- Chapter 5. Credit Derivatives Pricing and Valuation
- Chapter 6. Credit Default Swap Pricing
- Chapter 7. The Asset Swap–Credit Default Swap Basis
- Glossary
- Index
Product information
- Title: An Introduction to Credit Derivatives, 2nd Edition
- Author(s):
- Release date: December 2012
- Publisher(s): Butterworth-Heinemann
- ISBN: 9780080982984
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