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Structured Credit Products: Credit Derivatives and Synthetic Securitisation, 2nd Edition by Moorad Choudhry

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Index

A

A note

ABN Amro

ABS

Acceptance

Accrued interest

Act/360

Act/365

Agencies

Agent

All-in price

ALCO see ALM Committee

ALM see Asset–liability management

ALM policies

American options

Amortising

Amortising bond

Amortising mortgages

Amortising swaps

Annualised

Conventional bonds

Interest rate

Percentage

Annualised percentage rate

Annuity

Applications

Asset swaps

Credit default swaps (CDSs)

Credit-linked notes (CLNs)

Total return swaps (TRSs)

Approaches to pricing

Approximate duration

APR see Annualised percentage rate

Arbitrage

CDOs

Pricing theory

Trading

Transactions

Arbitrage-free pricing

Arranger

Ask price

Asset-backed bonds

Asset-backed commercial paper (ABCP)

Conduit

Asset-backed securities (ABSs)

Asset class

Credit risk as

Asset coverage

Asset–Liability Management (ALM)

Funding risk

Function

Asset swaps

Asset-backed mortgages

Credit default swaps

Mortgage-backed securities (MBSs)

Securitised asset swaps

Spread

Structuring of

Synthetic security structure

Asset types

Auction

Auto-loan-backed securities

Analysis

Description

Average life

Average return

B

Bailouts

Balance sheet CDO

Motivation

Structure

Balance sheet management

Bank asset

Bank bills

Bank of England

Bank of International Settlement (BIS)

Bank risk

Bankers acceptances

Banking book

Bankruptcy

Bankruptcy remote

Barings

Basel Accord

Basel Capital regime

Basel I

Basel II

Bank asset

Credit derivative

Risk weights

Securitisation

Sovereign debt

Standardised approach

Basel rules

Basis

Basis point value

Basis points (bps) ...

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