Credit Derivatives
Trading, Investing,and Risk Management
(Sprache: Englisch)
The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent...
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The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors.Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk Management, Second Edition, covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques.
The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading.
It provides:
* a description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring;
* analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings;
* tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management;
* a thorough analysis of counterparty risk;
* an intuitive understanding of credit correlation in reality and in the Copula model.
The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid
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environments, chapters on the evolution of credit management systems, the credit meltdown and new chapters on the implementation and testing of credit derivative models and systems.
The book is accompanied by a CD ROM which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
The book is accompanied by a CD ROM which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
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The credit derivatives industry has come under close scrutiny over the past 2 years, with the Credit Crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, from traders, structurers, quants and investors.
This book covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides:
- A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring
- Analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings
- Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management
- A thorough analysis of counterparty risk
- An intuitive understanding of credit correlation in reality and in the Copula model
The book has been thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It will contain 50% new material, which will include copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and the mathematics of the credit bubble.
The book is accompanied by a CD ROM which will illustrate the models used in the book and also provide an advanced valuation toolkit.
Contents
[Foreword] Preface Disclaimer Acknowledgements
PartI: Credit Background and Credit Derivatives 1. Credit Debt and other traditional credit instruments 2. Pricing Methods 3. Default & Recovery Data; Transition Matrices; Historical Pricing 4.The Credit Event for Debt 5. Asset Swaps and Asset Swap Spread; z-spread 6. Liquidity 7. Credit portfolios and portfolio risk Software examples: Transition matrix based pricing; historical and implied transition matrices Asset swap, z-spread, maturity spread calculations Portfolio correlation and VaR
PartII: Credit Default Swaps and other Single Name Products 8. Credit Default Swaps: Product Description, and Simple Applications - 9. Valuation and Risk: Basic Concepts - 10. CDS Deal Examples 11. CDS/Bond Basis Trading 12. Sensitivities; Hedging Issues 13. Credit Linked Notes 14. Digital CDS 15. Basket CDS and Index CDS structures 16. Spread Options, Callable/Putable Bonds, Callable Asset Swaps, Callable Default Swaps 17. Total Return Swaps 18. Single Name Book management 19. CDS Pricing by Simulation Software examples:
Deterministic model [Excel and MathCad] Debt valuation [Excel and MathCad] CDS valuation [Excel and MathCad] Sensitivity calculation examples [Excel and MathCad]
PartIII: Portfolio Products - Correlated stochastic recovery models, Semi-closed form solutions, Structure pricing Correlation in structures.
CDOs and structured credit products - synthetic - static and standard index products - synthetic - bespoke, static and managed - cashflow CDOs - securitisations - rating (update), SPV, applications - product risks (bubble related to enhanced sales opportunities) - pricing at 0 and 100% correl - other portfolio products (contributed) Copula valuation and hedging (method) Correlation - in the real world and further section on correlation in normal and abnormal environments - e.g. correlation of life policy values. - matrix and tag - factor/tranche/compound - base - correlated stochastic recovery - Monte Carlo pricing - Semi closed form pricing Application of Copula valuation - Synthetics: 21.6 to 21.8 rewritten - Cashflow CDO - Structures Portfolio Optimisation (contributed) Other Copulae Portfolio Products and Correlation Risk management Pricing methodologies in illiquid environments
PartIV: Default Swaps including Counterparty Risk - CDS as a portfolio product Vanilla CDS Counterparty ("Double trigger") CDS
PartV:- NEW The Evolution of Credit Management Systems The Credit Meltdown and rebirth of CDS The Mathematics of the Bubble Mathematical
Appendix: List of Abbreviations Glossary References Index
This book covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides:
- A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring
- Analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings
- Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management
- A thorough analysis of counterparty risk
- An intuitive understanding of credit correlation in reality and in the Copula model
The book has been thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It will contain 50% new material, which will include copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and the mathematics of the credit bubble.
The book is accompanied by a CD ROM which will illustrate the models used in the book and also provide an advanced valuation toolkit.
Contents
[Foreword] Preface Disclaimer Acknowledgements
PartI: Credit Background and Credit Derivatives 1. Credit Debt and other traditional credit instruments 2. Pricing Methods 3. Default & Recovery Data; Transition Matrices; Historical Pricing 4.The Credit Event for Debt 5. Asset Swaps and Asset Swap Spread; z-spread 6. Liquidity 7. Credit portfolios and portfolio risk Software examples: Transition matrix based pricing; historical and implied transition matrices Asset swap, z-spread, maturity spread calculations Portfolio correlation and VaR
PartII: Credit Default Swaps and other Single Name Products 8. Credit Default Swaps: Product Description, and Simple Applications - 9. Valuation and Risk: Basic Concepts - 10. CDS Deal Examples 11. CDS/Bond Basis Trading 12. Sensitivities; Hedging Issues 13. Credit Linked Notes 14. Digital CDS 15. Basket CDS and Index CDS structures 16. Spread Options, Callable/Putable Bonds, Callable Asset Swaps, Callable Default Swaps 17. Total Return Swaps 18. Single Name Book management 19. CDS Pricing by Simulation Software examples:
Deterministic model [Excel and MathCad] Debt valuation [Excel and MathCad] CDS valuation [Excel and MathCad] Sensitivity calculation examples [Excel and MathCad]
PartIII: Portfolio Products - Correlated stochastic recovery models, Semi-closed form solutions, Structure pricing Correlation in structures.
CDOs and structured credit products - synthetic - static and standard index products - synthetic - bespoke, static and managed - cashflow CDOs - securitisations - rating (update), SPV, applications - product risks (bubble related to enhanced sales opportunities) - pricing at 0 and 100% correl - other portfolio products (contributed) Copula valuation and hedging (method) Correlation - in the real world and further section on correlation in normal and abnormal environments - e.g. correlation of life policy values. - matrix and tag - factor/tranche/compound - base - correlated stochastic recovery - Monte Carlo pricing - Semi closed form pricing Application of Copula valuation - Synthetics: 21.6 to 21.8 rewritten - Cashflow CDO - Structures Portfolio Optimisation (contributed) Other Copulae Portfolio Products and Correlation Risk management Pricing methodologies in illiquid environments
PartIV: Default Swaps including Counterparty Risk - CDS as a portfolio product Vanilla CDS Counterparty ("Double trigger") CDS
PartV:- NEW The Evolution of Credit Management Systems The Credit Meltdown and rebirth of CDS The Mathematics of the Bubble Mathematical
Appendix: List of Abbreviations Glossary References Index
Inhaltsverzeichnis zu „Credit Derivatives “
Preface to the First Edition.Preface to the Second Edition.
Acknowledgements.
Disclaimer.
Table of Spreadsheet Examples and Software.
About the Author.
PART I CREDIT BACKGROUND AND CREDIT DERIVATIVES.
1 Credit Debt and Other Traditional Credit Instruments.
1.1 Bonds and Loans; Libor Rates and Swaps; 'REPO' and General Collateral Rates.
1.2 Credit Debt Versus 'Risk-Free' Debt.
1.3 Issue Documents, Seniority and the Recovery Process.
1.4 Valuation, Yield and Spread.
1.5 Buying Risk.
1.6 Marking to Market, Marking to Model and Reserves.
1.7 The 'Credit Crunch' and Correlation.
1.8 Parties Involved in the Credit Markets and Key Terminology.
2 Default and Recovery Data; Transition Matrices; Historical Pricing.
2.1 Recovery: Ultimate and Market-Value-Based Recovery.
2.2 Default Rates: Rating and Other Factors.
2.3 Transition Matrices.
2.4 'Measures' and Transition Matrix-Based Pricing.
2.5 Spread Jumps and Spread Volatility Derived from Transition Matrices.
2.6 Adjusting Transition Matrices.
3 Asset Swaps and Asset Swap Spread; z-Spread.
3.1 'Par-Par' Asset Swap Contracts.
3.2 Asset Swap Spread.
3.3 Maturity and z-Spread.
3.4 Callable Asset Swaps; 'Perfect' Asset Swaps.
3.5 A Bond Spread Model.
4 Liquidity, the Credit Pyramid and Market Data.
4.1 Bond Liquidity.
4.2 The Credit Pyramid.
4.3 Engineered and Survey Data.
4.4 Spread and Rating.
5 Traditional Counterparty Risk Management.
5.1 Vetting.
5.2 Collateralisation and Netting.
5.3 Additional Counterparty Requirements for Credit Derivative Counterparties.
5.4 Internal Capital Charge.
6 Credit Portfolios and Portfolio Risk.
6.1 VaR and counterpartyVaR.
6.2
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Distribution of Forward Values of a Credit Bond.
6.3 Correlation and the Multi-Factor Normal (Gaussian) Distribution.
6.4 Correlation and the Correlation Matrix.
7 Introduction to Credit Derivatives.
7.1 Products and Users.
7.2 Market Participants and Market Growth.
PART II CREDIT DEFAULT SWAPS AND OTHER SINGLE NAME PRODUCTS.
8 Credit Default Swaps; Product Description and Simple Applications.
8.1 CDS Product Definition.
8.2 Documentation.
8.3 Credit Triggers for Credit Derivatives.
8.4 CDS Applications and Elementary Strategies.
8.5 Counterparty Risk: PFE for CDS.
8.6 CDS Trading Desk.
8.7 CDS Contract and Convention Changes 2009.
9 Valuation and Risk: Basic Concepts and the Default and Recovery Model.
9.1 The Fundamental Credit Arbitrage - Repo Cost.
9.2 Default and Recovery Model; Claim Amount.
9.3 Deterministic Default Rate Model.
9.4 Stochastic Default Rate Model; Hazard and Pseudo-Hazard Rates.
9.5 Calibration to Market Data.
9.6 CDS Data/Sources.
9.7 Model Errors and Tests.
9.8 CDS Risk Factors; Reserves and Model Risk.
10 CDS Deal Examples.
10.1 A CDS Hedged Against Another CDS.
10.2 Introduction to Bond Hedging.
10.3 Hedge and Credit Event Examples.
11 CDS/Bond Basis Trading.
11.1 Bond Versus CDS: Liquidity.
11.2 Bond Repo Cost.
11.3 Bond Spread Measurement - z-Spread not Asset Swap Spread.
11.4 Bond Price Impact.
11.5 Embedded Options in Bonds and Loans.
11.6 Del
6.3 Correlation and the Multi-Factor Normal (Gaussian) Distribution.
6.4 Correlation and the Correlation Matrix.
7 Introduction to Credit Derivatives.
7.1 Products and Users.
7.2 Market Participants and Market Growth.
PART II CREDIT DEFAULT SWAPS AND OTHER SINGLE NAME PRODUCTS.
8 Credit Default Swaps; Product Description and Simple Applications.
8.1 CDS Product Definition.
8.2 Documentation.
8.3 Credit Triggers for Credit Derivatives.
8.4 CDS Applications and Elementary Strategies.
8.5 Counterparty Risk: PFE for CDS.
8.6 CDS Trading Desk.
8.7 CDS Contract and Convention Changes 2009.
9 Valuation and Risk: Basic Concepts and the Default and Recovery Model.
9.1 The Fundamental Credit Arbitrage - Repo Cost.
9.2 Default and Recovery Model; Claim Amount.
9.3 Deterministic Default Rate Model.
9.4 Stochastic Default Rate Model; Hazard and Pseudo-Hazard Rates.
9.5 Calibration to Market Data.
9.6 CDS Data/Sources.
9.7 Model Errors and Tests.
9.8 CDS Risk Factors; Reserves and Model Risk.
10 CDS Deal Examples.
10.1 A CDS Hedged Against Another CDS.
10.2 Introduction to Bond Hedging.
10.3 Hedge and Credit Event Examples.
11 CDS/Bond Basis Trading.
11.1 Bond Versus CDS: Liquidity.
11.2 Bond Repo Cost.
11.3 Bond Spread Measurement - z-Spread not Asset Swap Spread.
11.4 Bond Price Impact.
11.5 Embedded Options in Bonds and Loans.
11.6 Del
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Autoren-Porträt von Geoff Chaplin
GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972) and Oxford (MSc 1973, DPhil 1975) and trained 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 a partner in Reoch Credit he has consulted to law firms, hedge funds, corporate treasurers, institutional investment funds and risk control departments of major banks in the areas of credit and mortality risk. He has been involved in the credit derivatives market since 1996 and life settlements structures since 2003. Geoff has also maintained strong academic interests - he 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, speaks regularly at conferences and is the author of Credit Derivatives: Risk management, Trading and Investing (John Wiley & Sons Ltd, 2005) and co-author of Life Settlements and Longevity Structures: Pricing and Risk Management: Investment and Structured Finance (John Wiley & Sons Ltd, 2009).
Bibliographische Angaben
- Autor: Geoff Chaplin
- 2010, 2. Aufl., 408 Seiten, mit Abbildungen, Maße: 17,7 x 25,2 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470686448
- ISBN-13: 9780470686447
- Erscheinungsdatum: 01.06.2010
Sprache:
Englisch
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