Understanding Credit Derivatives and Related Instruments

Other | December 1, 2004

byBomfim, Antulio N., Antulio N. Bomfim

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The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990s to over $2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developments in its various segments, such as the market for single-name credit derivatives or the market for credit derivatives written on sovereign credits.

Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.

* Offers a broad overview of this growing field
* Discusses all the main types of credit derivatives
* Provides back-of-the-book summary of statistics and fixed-income mathematics

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From the Publisher

The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990s to over $2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developments in its various segments, such as the m...

Antulio N. Bomfim Senior Managing Director and Co-Head of Monetary Policy Insights at Macroeconomic Advisers, LLC. He received his M.A. and Ph.D. inEconomics at the University of Maryland and his M.Sc.in Mathematical Finance at the University of Oxford.

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Format:OtherDimensions:368 pages, 1 × 1 × 1 inPublished:December 1, 2004Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0080481485

ISBN - 13:9780080481487

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Table of Contents

1 Credit Derivatives: A Brief Overview
2 The Credit Derivatives Market
3 Main Uses of Credit Derivatives
4 Floating-Rate Notes
5 Asset Swaps
6 Credit Default Swaps
7 Total Return Swaps
8 Spread and Bond Options
9 Basket Default Swaps
10 Portfolio Default Swaps
11 Principal-Protected Structures
12 Credit-Linked Notes
13 Repackaging Vehicles
14 Synthetic CDOs
15 Valuing Defaultable Bonds
16 The Credit Curve
17 Main Credit Modeling Approaches
18 Valuing of Credit Options
19 The Basics of Portfolio Credit Risk
20 Valuing Basket Default Swaps
21 Valuing Portfolio Swaps and CDOs
22 A Quick Tour of Commercial Models
23 Modeling Counterparty Credit Risk
24 Anatomy of a CDS Transaction
25 A Primer on Bank Regulatory Issues
Appendix A Basic Concepts from Bond Math
Appendix B Basic Concepts from Statistics