Credit Derivatives: Trading, Investing and Risk Management, Second Edition

Table of Contents

 

Dedication

Title Page

Copyright Page

Preface to the First Edition

Preface to the Second Edition

Acknowledgements

Disclaimer

INSTRUCTIONS FOR THE ‘NDB PRICER’ AND THE ‘CDO PRICER’

APPLICATION RESTRICTIONS

Table of Spreadsheet Examples and Software

About the Author

 

Part I - Credit Background and Credit Derivatives

 

Chapter 1 - Credit Debt and Other Traditional Credit Instruments

 

1.1 BONDS AND LOANS; LIBOR RATES AND SWAPS; ‘REPO’ AND GENERAL COLLATERAL RATES

1.2 CREDIT DEBT VERSUS ‘RISK-FREE’ DEBT

1.3 ISSUE DOCUMENTS, SENIORITY AND THE RECOVERY PROCESS

1.4 VALUATION, YIELD AND SPREAD

1.5 BUYING RISK

1.6 MARKING TO MARKET, MARKING TO MODEL AND RESERVES

1.7 THE ‘CREDIT CRUNCH’ AND CORRELATION

1.8 PARTIES INVOLVED IN THE CREDIT MARKETS AND KEY TERMINOLOGY

 

Chapter 2 - Default and Recovery Data; Transition Matrices; Historical Pricing

 

2.1 RECOVERY: ULTIMATE AND MARKET-VALUE-BASED RECOVERY

2.2 DEFAULT RATES: RATING AND OTHER FACTORS

2.3 TRANSITION MATRICES

2.4 ‘MEASURES’ AND TRANSITION MATRIX-BASED PRICING

2.5 SPREAD JUMPS AND SPREAD VOLATILITY DERIVED FROM TRANSITION MATRICES

2.6 ADJUSTING TRANSITION MATRICES

 

Chapter 3 - Asset Swaps and Asset Swap Spread; z-Spread

 

3.1 ‘PAR-PAR’ ASSET SWAP CONTRACTS

3.2 ASSET SWAP SPREAD

3.3 MATURITY AND z-SPREAD

3.4 CALLABLE ASSET SWAPS; ‘PERFECT’ ASSET SWAPS

3.5 A BOND SPREAD MODEL

 

Chapter 4 - Liquidity, the Credit Pyramid and Market Data

 

4.1 BOND LIQUIDITY

4.2 THE CREDIT PYRAMID

4.3 ENGINEERED AND SURVEY DATA ...