Credit derivatives trading, investing and risk management
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 unde...
| Main Author: | |
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| Format: | eBook |
| Language: | English |
| Published: |
Chichester, West Sussex, U.K.
John Wiley and Sons
2010
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| Edition: | 2nd ed |
| Series: | Finance professional collection
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| Subjects: | |
| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Includes bibliographical references (pages 364-365) and index
- Credit Derivatives; Contents; 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; 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