Anson / Fabozzi / Choudhry Credit Derivatives

Instruments, Applications, and Pricing
1. Auflage 2004
ISBN: 978-0-471-65238-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 288 Seiten, E-Book

Reihe: Frank J. Fabozzi Series

An essential guide to credit derivatives
Credit derivatives has become one of the fastest-growing areas ofinterest in global derivatives and risk management. CreditDerivatives takes the reader through an in-depth explanation of aninvestment tool that has been increasingly used to manage creditrisk in banking and capital markets. Anson discusses everythingfrom the basics of why credit risk is important to accounting andtax implications of credit derivatives. Key topics covered in thisessential guidebook include: credit swaps; credit forwards; creditlinked notes; and credit derivative pricing models. Anson alsodiscusses the implications of credit risk management as well ascredit derivative regulation. Using charts, examples, basicinvestment theory, and elementary mathematics, Credit Derivativesillustrates the real-world practice and applications of creditderivatives products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officerat Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the InternationalCenter for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in StructuredFinance Services with JP Morgan Chase Bank in London.
Ren-Raw Chen is an Assistant and Associate Professor at the RutgersUniversity Faculty of Management.

Autoren/Hrsg.

Anson, Mark J. P.

Fabozzi, Frank J.

Choudhry, Moorad

Chen, Ren-Raw

Inhaltsverzeichnis

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 ObligationStructures.
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 SpreadProducts.
Chapter 12. Accounting for Credit Derivatives.
Chapter 13. Taxation of Credit Derivatives.
Index.

Über Autor(innen)

MARK J.P. ANSON, PhD, CFA, is the Chief Investment Officer atCalPERS and is a frequent contributor to academic and professionalpublications on the topics of risk management, derivatives, andportfolio management.
FRANK J. FABOZZI, PhD, CFA, is the Frederick Frank AdjunctProfessor of Finance at Yale University's School ofManagement, a Fellow of the International Center for Finance atYale University, and Editor of the Journal of PortfolioManagement.
MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UKLimited, and a Fellow at the Centre for Mathematical Trading andFinance, CASS Business School.
REN-RAW CHEN, PhD, is an Associate Professor of Finance atRutgers University School of Business (New Brunswick), a frequentcontributor to major academic finance journals, and a speaker atmany academic conferences.