Credit Derivatives and Structured Credit: A Guide for Investors

Index

A.M. Best & Co., 15

Abbey National, 129

ABN Amro, 96, 115, 168–74

active-regulation needs, real risks, 240–1

actively-managed arbitrage-driven synthetic CDOs, concepts, 128–33

actively-managed portfolios, banks, 205–41, 249

AIG Financial Products, 64–5

Air Canada, 159

Alstom, 26

Altman, Edward I., 19

American Municipal Bond Association Corp (AMBAC), 30

American options, 56

applications

CDSs, 66–79, 103, 125, 152, 155–63, 165–7, 172–4, 216–18, 248–9, 251

CLNs, 49–50, 78, 92–4, 115–25, 156–60

CMDS, 52, 243

credit derivatives, 49–50, 52, 54, 66–79, 102–3, 149–74, 198–249, 251–3

EDSs, 54, 78–9, 147, 246

iTraxx indices, 102–3, 139–40

private individuals, 248–9

arbitrage, 14, 66–70, 102–7, 119–24, 147, 152, 159, 166–7, 172–4, 223–4, 229–32, 241, 245–9, 252–3

balance sheet-driven CDOs, 119–24, 128, 147, 230–3

credit curve arbitrage, 69–70, 252

recovery rate arbitrage, 70

regulatory arbitrage, 14, 119–24, 152, 172–4, 223–4, 229–32, 241

relative value arbitrage, 68, 102–3, 166–7, 175–6

arbitrage CBOs/CLOs, concepts, 107–14, 125

arbitrage-driven synthetic CDOs

actively-managed structures, 128–33

characteristics, 126–7

concepts, 124–47, 159

examples, 128–33

first structures, 124–8

historical background, 124, 126

on-demand structures, 133–47

overview, 143–7

reversal of the market, 127–8

structures, 124–33

arbitrage-free pricing models, concepts, 175–6

Argentina, 43, 159

Aria CDO, 141

Armstrong World Industries, 38

Asarnow, E., 245

Asian banks, 162

Asian crisis (1997), 19, 150–2

Asian ...