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An Introduction to Credit Derivatives, 2nd Edition by Moorad Choudhry

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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
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 ...

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