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Book Cover
Author Chaplin, Geoff.

Title Credit derivatives : risk management, trading & investing / Geoff Chaplin
Published Hoboken, NJ : Wiley, [2005]


Location Call no. Vol. Availability
 MELB  332.632 Cha/Cdr  AVAILABLE
Description xxiv, 311 pages : illustrations ; 25 cm
Series Wiley finance series
Wiley finance series.
Contents 1. Credit debt and other traditional credit instruments -- 2. Default and recovery data; transition matrices; historical pricing -- 3. Asset swaps and asset swap spread; z-spread -- 4. Liquidity, the credit pyramid and market data -- 5. Traditional counterparty risk management -- 6. Credit portfolios and portfolio risk -- 7. Introduction to credit derivatives -- 8. Credit default swaps; product description and simple applications -- 9. Valuation and risk : basic concepts and the default and recovery model -- 10. CDS deal examples -- 11. CDS/bond basis trading -- 12. Forward CDS; back-to-back CDS, mark-to-market and CDS unwind -- 13. Credit-linked notes -- 14. Digital or 'fixed recovery' CDS -- 15. Spread options, callable/puttable bonds, callable asset swaps, callable default swaps -- 16. Total return swaps -- 17. Single name book management -- 18. CDS and simulation -- 19. Nth-to-default baskets -- 20. Collateralised debt obligations -- 21. Valuation and hedging
22. The correlation matrix -- 23. Other copulae -- 24. Correlation portfolio management -- 25. 'Single name' CDS -- 26. Counterparty CDS -- 27. The future for credit derivatives
Summary "The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related 'real world' issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading."--BOOK JACKET
Bibliography Includes bibliographical references and index
Subject Credit derivatives.
Risk management.
LC no. 2005005801
ISBN 047002416X (cloth : alk. paper)
9780470024164 (cloth : alk. paper)