简介
Updated coverage of structured credit products with in-depth coverage of the latest developments Structured credit products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown, and a CD-ROM of models and teaching aids. Moorad Choudhry is Head of Treasury at Europe Arab Bank plc in London. He is a Visiting Professor at the Department of Economics at London Metropolitan University.
目录
Foreword: Professor Darrell Duffie, Stanford University p. xi
Preface p. xv
Acknowledgements p. xix
About the Author p. xxi
Prologue: The 2007-2008 credit and liquidity crunch: Impact on structured credit markets p. 1
Part 1 Credit risk and credit derivative instruments p. 21
Chapter 1 Credit risk p. 27
Chapter 2 Credit derivatives I: Unfunded instruments p. 57
Chapter 3 Credit derivatives II: Funded instruments p. 163
Chapter 4 Credit analysis and relative value measurement p. 185
Chapter 5 Credit derivatives III: Applications p. 203
Chapter 6 Credit derivatives pricing and valuation p. 227
Chapter 7 Credit default swap pricing p. 251
Chapter 8 The asset swap-credit default swap basis I: The asset swap pricing of credit default swaps p. 281
Chapter 9 The credit default swap basis II: Analysing the relationship between cash and synthetic markets p. 293
Chapter 10 Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades p. 343
Chapter 11 Syndicated loans, loan-only credit default swaps and CDS legal documentation p. 371
Part II Structured credit products and synthetic securitisation p. 403
Chapter 12 An introduction to securitisation p. 405
Chapter 13 Synthetic collateralised debt obligations p. 445
Chapter 14 CDO valuation and cash flow waterfall models p. 507
Chapter 15 Synthetic conduits and credit derivative funding structures p. 533
Part III CD-R p. 559
Chapter 16 Files on the accompanying CD-R p. 561
Contributing authors p. 567
Afterword: Econometrics, finance and football p. 569
Glossary p. 575
Index p. 589
Preface p. xv
Acknowledgements p. xix
About the Author p. xxi
Prologue: The 2007-2008 credit and liquidity crunch: Impact on structured credit markets p. 1
Part 1 Credit risk and credit derivative instruments p. 21
Chapter 1 Credit risk p. 27
Chapter 2 Credit derivatives I: Unfunded instruments p. 57
Chapter 3 Credit derivatives II: Funded instruments p. 163
Chapter 4 Credit analysis and relative value measurement p. 185
Chapter 5 Credit derivatives III: Applications p. 203
Chapter 6 Credit derivatives pricing and valuation p. 227
Chapter 7 Credit default swap pricing p. 251
Chapter 8 The asset swap-credit default swap basis I: The asset swap pricing of credit default swaps p. 281
Chapter 9 The credit default swap basis II: Analysing the relationship between cash and synthetic markets p. 293
Chapter 10 Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades p. 343
Chapter 11 Syndicated loans, loan-only credit default swaps and CDS legal documentation p. 371
Part II Structured credit products and synthetic securitisation p. 403
Chapter 12 An introduction to securitisation p. 405
Chapter 13 Synthetic collateralised debt obligations p. 445
Chapter 14 CDO valuation and cash flow waterfall models p. 507
Chapter 15 Synthetic conduits and credit derivative funding structures p. 533
Part III CD-R p. 559
Chapter 16 Files on the accompanying CD-R p. 561
Contributing authors p. 567
Afterword: Econometrics, finance and football p. 569
Glossary p. 575
Index p. 589
- 名称
- 类型
- 大小
光盘服务联系方式: 020-38250260 客服QQ：4006604884
云图客服：
用户发送的提问，这种方式就需要有位在线客服来回答用户的问题，这种 就属于对话式的,问题是这种提问是否需要用户登录才能提问
Video Player
×
Audio Player
×
pdf Player
×
亲爱的云图用户，
光盘内的文件都可以直接点击浏览哦
无需下载，在线查阅资料！
