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Credit derivatives : trading, investing and risk management / Geoff Chaplin
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: The Wiley finance series | The Wiley Finance Ser ; v.529Publisher: Chichester, West Sussex, UK : John Wiley, 2010Copyright date: ©2010Edition: 2nd ed (Online-Ausg.)Description: Online-Ressource (1 online resource (xviii, 376 p.)) : illISBN:- 9781282728851
- 1282728857
- 9780470689882
- 332.632
- 332.63/2
- HG6024.A3
Contents:
Summary: The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors. Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk Management, Second Edition, covers the subject from a real world perspective, tackling 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. It provides: a description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring; analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings; tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management; a thorough analysis of counterparty risk; an intuitive understanding of credit correlation in reality and in the Copula model. The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimisation, portfolioSummary: Credit Derivatives -- Contents -- Preface to the First Edition -- Preface to the Second Edition -- Acknowledgements -- Disclaimer -- Table of Spreadsheet Examples and Software -- About the Author -- PART I CREDIT BACKGROUND AND CREDIT DERIVATIVES -- 1 Credit Debt and Other Traditional Credit Instruments -- 1.1 Bonds and Loans -- Libor Rates and Swaps -- 'REPO' and General Collateral Rates -- 1.1.1 Bonds and Loans -- 1.1.2 BBA Libor and Swaps -- 1.1.3 Collateralised Lending and Repo -- 1.1.4 Repo as a Credit Derivative -- 1.2 Credit Debt Versus 'Risk-Free' Debt -- 1.3 Issue Documents, Seniority and the Recovery Process -- 1.3.1 Issue Documents and Default -- 1.3.2 Claim Amount -- 1.3.3 The Recovery Process and Recovery Amount -- 1.3.4 Sovereign versus Corporate Debt -- 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 -- 2 Default and Recovery Data -- Transition Matrices -- Historical Pricing -- 2.1 Recovery: Ultimate and Market-Value-Based Recovery -- 2.1.1 Ultimate Recovery -- 2.1.2 Market Recovery -- 2.1.3 Recovery Rates and Industry Sector -- 2.1.4 Recovery and Default Rates and the Economic Cycle -- 2.1.5 Modelling Recovery Rates -- 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 -- 3 Asset Swaps and Asset Swap Spread -- z-Spread -- 3.1 'Par-Par' Asset Swap Contracts -- 3.1.1 Contract Description and Hedging -- 3.1.2 Hedging -- 3.1.3 Default of the Reference Name -- 3.2 Asset Swap Spread -- 3.3 Maturity and z-Spread -- 3.4 Callable Asset Swaps -- 'Perfect' Asset Swaps.PPN: PPN: 808969684Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
""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""; ""4.4 SPREAD AND RATING""; ""Chapter 5 - Traditional Counterparty Risk Management""
""5.1 VETTING""""5.2 COLLATERALISATION AND NETTING""; ""5.3 ADDITIONAL COUNTERPARTY REQUIREMENTS FOR CREDIT DERIVATIVE COUNTERPARTIES""; ""5.4 INTERNAL CAPITAL CHARGE""; ""Chapter 6 - Credit Portfolios and Portfolio Risk""; ""6.1 VaR AND COUNTERPARTYVaR""; ""6.2 DISTRIBUTION OF FORWARD VALUES OF A CREDIT BOND""; ""6.3 CORRELATION AND THE MULTI-FACTOR NORMAL (GAUSSIAN) DISTRIBUTION""; ""6.4 CORRELATION AND THE CORRELATION MATRIX""; ""Chapter 7 - Introduction to Credit Derivatives""; ""7.1 PRODUCTS AND USERS""; ""7.2 MARKET PARTICIPANTS AND MARKET GROWTH""
""Part II - Credit Default Swaps and other Single Name Products""""Chapter 8 - Credit Default Swaps; Product Description and Simple Applications""; ""8.1 CDS PRODUCT DEFINITION""; ""8.2 DOCUMENTATION""; ""8.3 CREDIT TRIGGERS FOR CREDIT DERIVATIVES""; ""8.4 CDS APPLICATIONS AND ELEMENTARY STRATEGIES""; ""8.5 COUNTERPARTY RISK: PFE FOR CDS""; ""8.6 CDS TRADING DESK""; ""8.7 CDS CONTRACT AND CONVENTION CHANGES 2009""; ""Chapter 9 - Valuation and Risk: Basic Concepts and the Default and Recovery Model""; ""9.1 THE FUNDAMENTAL CREDIT ARBITRAGE - REPO COST""; ""9.2 DEFAULT AND RECOVERY MODEL
CLAIM AMOUNT""
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