An Introduction to Credit Derivatives

Other | June 1, 2004

byChoudhry, Moorad, Moorad ChoudhryEditorChoudhry

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In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and economic capital. This book is an accessible introduction to the various types of credit derivative instruments traded in the markets today. All products are described with the help of worked examples and Bloomberg screens, and the reader will be left with a thorough familiarity with the nature of credit risk and credit products generally.

Topics covered include:
* Credit risk
* Unfunded credit derivatives
* Funded credit derivatives
* Credit default swap pricing
* The asset-swap credit default swap basis

* Accessible account of major segment of financial markets
* Describes instruments and applications
* Integrates credit risk with credit derivatives

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From the Publisher

In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and ec...

Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at...

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Format:OtherDimensions:128 pages, 1 × 1 × 1 inPublished:June 1, 2004Publisher:Butterworth (trade)Language:English

The following ISBNs are associated with this title:

ISBN - 10:0080478727

ISBN - 13:9780080478722

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Table of Contents

Credit risk; Credit Derivatives I; Credit Derivatives II; Credit Derivatives III: basic applications; Pricing; CDS pricing; The CDS-ASW basis.