Credit Derivatives & Synthetic Structures
(Sprache: Englisch)
Credit derivatives are financial instruments that are designed to transfer the credit exposure of an underlying asset or issuer between two or more parties. They help to hedge the exposure of portfolios that are sensitive to risk. Credit Derivatives and...
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Credit derivatives are financial instruments that are designed to transfer the credit exposure of an underlying asset or issuer between two or more parties. They help to hedge the exposure of portfolios that are sensitive to risk. Credit Derivatives and Synthetic Structures is a comprehensive guide that explains how to use credit derivatives to manage risk. It covers the various types of credit derivatives, their pricing, accounting issues, tax considerations, and legal documentation. Authors Anson and Fabozzi create a solid foundation for readers by addressing risk, and the building blocks of credit derivatives, and move upward and outward into the more complex issues associated with the topic.
Klappentext zu „Credit Derivatives & Synthetic Structures “
An essential guide to credit derivativesCredit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products.Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.
Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Inhaltsverzeichnis zu „Credit Derivatives & Synthetic Structures “
Preface.About the Authors.
Chapter 1. Introduction.
Chapter 2. Types of Credit Risk.
Chapter 3. Credit Default Swaps.
Chapter 4. Asset Swaps and the Credit Default Swap Basis.
Chapter 5. Total Return Swaps.
Chapter 6. Credit-Linked Notes.
Chapter 7. Synthetic Collateralized Debt Obligation Structures.
Chapter 8. Credit Risk Modeling: Structural Models.
Chapter 9. Credit Risk Modeling: Reduced Form Models.
Chapter 10. Pricing of Credit Default Swaps.
Chapter 11. Options and Forwards on Credit-Related Spread Products.
Chapter 12. Accounting for Credit Derivatives.
Chapter 13. Taxation of Credit Derivatives.
Index.
Autoren-Porträt
MARK J. P. ANSON, PhD, is the Chief Investment Officer at Calpers. Prior to joining Calpers, he was portfolio manager at OppenheimerFunds, a registered options principal in equity derivatives for Salomon Brothers Inc., and a practicing attorney specializing in futures and derivatives markets. Dr. Anson earned his law degree from the Northwestern University School of Law and his PhD and master's in finance from the Columbia Graduate School of Business. He has also earned the Chartered Financial Analyst, Certified Public Accountant, Certified Internal Auditor, and Certified Management Accountant degrees. Dr. Anson is a frequent contributor to academic and professional publications on the topics of risk management, derivatives, and portfolio management.Bibliographische Angaben
- 2004, 1. Auflage., 288 Seiten, Maße: 24,1 cm, Gebunden, Englisch
- Mitarbeit: Anson, Mark J. P.; Fabozzi, Frank J.; Ren-Raw, Chen
- Verlag: Wiley & Sons
- ISBN-10: 047146600X
- ISBN-13: 9780471466000
Sprache:
Englisch
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