An Introduction to Credit Derivatives, 2nd Edition

Index

A

Air Products & Chemicals, 128f

Alpha-Sires, 58–61

Arbitrage

asset swap/CDS price differentials, 21, 125–127

definition, 143, 143–144

Asia, crises, 6

Asset swaps, 22–23, 28–30, 69, 88, 96–98, 123

arbitrage opportunities, 125–127

Bloomberg screens, 30, 128f, 129f

CDSs, 123

concepts, 22–23, 28–30, 69, 88, 96–98, 123

credit events, 30–32, 39–40

examples, 30, 34b, 96–98, 125

generic details, 29, 29f, 123–125

prices, 88, 96–98, 123–127, 123–127

TRSs, 30–36

Asset transfers, banks, 5, 18–19, 33–34

B

Balance sheets

credit derivatives, 19, 33–34

credit ratings, 7

off-balance sheet instruments, 19, 33–34, 75–76, 78–79

TRSs, 78–79

Banco Bilbao Vizcaya Argentaría (BBVA), 25f

Bankruptcies, credit events, 20, 49

Banks

asset transfers, 5, 18–19, 33–34 ...