Credit Derivatives

- Preface.
- Acknowledgements.
- Disclaimer and Software Instructions.
- Table of Spreadsheet Examples and Software.

PART I. CREDIT BACKGROUND AND CREDIT DERIVATIVES.
1. Credit Debt and Other Traditional Credit Instruments.
2. Default and Recovery Data; Transition Matrices; Historical Pricing.
3. Asset Swaps and Asset Swap Spread; z-Spread.
4. Liquidity, the Credit Pyramid and Market Data .
5. Traditional Counterparty Risk Management.
6. Credit Portfolios and Portfolio Risk.
7. Introduction to Credit Derivatives.

PART II. CREDIT DEFAULT SWAPS AND OTHER SINGLE NAME PRODUCTS.
8. Credit Default Swaps; Product Description and Simple Applications.
- Addendum: ISDA 2003 CDS confirmation.
9. Valuation and Risk: Basic Concepts and the Default and Recovery Model.

10. CDS Deal Examples.

11. CDS/Bond Basis Trading.

12. Forward CDS; Back-to-Back CDS, Mark-to-Market and CDS Unwind.

13. Credit-Linked Notes.

14. Digital or 'Fixed Recovery' CDS.

15. Spread Options, Callable/Puttable Bonds, Callable Asset Swaps, Callable Default Swaps.

16. Total Return Swaps .

17. Single Name Book Management.

18. CDS and Simulation.

PART III. PORTFOLIO PRODUCTS.

19. Nth-to-Default Baskets.

20. Collateralised Debt Obligations.

21. Valuation and Hedging.

22. The Correlation Matrix.

23. Other Copulae.
- Addendum.

24. Correlation Portfolio Management.

PART IV. DEFAULT SWAPS INCLUDING COUNTERPARTY RISK.

25. 'Single Name' CDS.

26. Counterparty CDS.

27. The Future for Credit Derivatives.
- Appendix: iTraxx Indices.
- References.
- Index.

GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972) and Oxford (MSc 1973, DPhil 1975) and qualified as an actuary (FFA 1978) while working in a life insurance company. He moved to the City in 1980 and has worked for major banks (including HSBC, Nomura International, and ABN AMRO) as well as consulting to hedge funds, corporate treasurers, and institutional investment funds. He has been involved in the credit derivatives market since 1996 and has both traded portfolio products and developed risk management systems for these products. In addition to consulting and training for the major financial institutions, Geoff has maintained strong academic interests and was a visiting (emeritus) professor at the University of Waterloo (Canada) from 1987 until 1999. He has also published many articles (in Risk, the Journal of the Institute and Faculty of Actuaries, and others) and speaks regularly at conferences on credit derivatives.