Description
Book SynopsisUpdated coverage of structured credit products with in-depth coverage of the latest developments
Structured credit products are one of today''s fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown,along with models and teaching aids.
Moorad Choudhry returns with this excellent update of the credit derivatives market. The second edition of his classic work is, like the subject matter itself, at the forefront of the financial industry. It deserves a wide reade
Table of Contents
Foreword Professor Darrell Duffie, Stanford University xi
Preface xv
Acknowledgements xix
About the Author xxi
Prologue The 2007–2008 credit and liquidity crunch: Impact on structured credit markets 1
Part I Credit risk and credit derivative instruments 21
Chapter 1 Credit risk 27
Chapter 2 Credit derivatives I: Unfunded instruments 57
Chapter 3 Credit derivatives II: Funded instruments 163
Chapter 4 Credit analysis and relative value measurement 185
Chapter 5 Credit derivatives III: Applications 203
Chapter 6 Credit derivatives pricing and valuation 227
Chapter 7 Credit default swap pricing 251
Chapter 8 The asset swap—credit default swap basis I: The asset swap pricing of credit default swaps 281
Chapter 9 The credit default swap basis II: Analysing the relationship between cash and synthetic markets 293
Chapter 10 Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades 343
Chapter 11 Syndicated loans, loan-only credit default swaps and CDS legal documentation 371
Part II Structured credit products and synthetic securitisation 403
Chapter 12 An introduction to securitisation 405
Chapter 13 Synthetic collateralised debt obligations 445
Chapter 14 CDO valuation and cash flow waterfall models 507
Chapter 15 Synthetic conduits and credit derivative funding structures 533
Part III CD-R 559
Chapter 16 Files on the accompanying CD-R 561
Contributing authors 567
Afterword: Econometrics, finance and football 569
Glossary 575
Index 589
