Screen LibraryUnderstanding credit derivatives and related instruments /
Annotation
Saved in:
| Main Authors: | |
|---|---|
| Corporate Authors: | |
| Published: |
Academic Press is an imprint of Elsevier,
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| Publisher Address: | Waltham, MA : |
| Publication Dates: |
[2015]. ©2016 |
| Literature type: | eBook |
| Language: | English |
| Edition: | Second edition. |
| Subjects: | |
| Online Access: |
http://www.sciencedirect.com/science/book/9780128001165 |
| Summary: |
Annotation |
| Carrier Form: | 1 online resource (420 pages) |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
9780128004906 0128004908 |
| Index Number: | HG6024 |
| CLC: | F830.9 |
| Contents: |
Front Cover; Understanding Credit Derivatives and Related Instruments; Copyright; Dedication; Author's Disclaimer; Contents; Preface to the Second Edition; Part I: Credit Derivatives: Definition, Market, Uses; Chapter 1: Credit Derivatives: A Brief Overview; 1.1 What Are Credit Derivatives?; 1.2 Potential ``Gains from Trade''; 1.3 Types of Credit Derivatives; 1.3.1 Single-Name Instruments; 1.3.2 Multiname Instruments; 1.3.3 Credit-Linked Notes; 1.3.4 Sovereign vs. Other Reference Entities; 1.4 Valuation Principles; 1.4.1 Fundamental Factors; 1.4.2 Other Potential Risk Factors 1.4.2.1 Legal Risk1.4.2.2 Model Risk; 1.4.3 Static Replication vs. Modeling; 1.4.4 A Note on Supply, Demand, and Market Frictions; 1.5 Counterparty Credit Risk (Again); Chapter 2: The Credit Derivatives Market; 2.1 Evolution and Size of the Market; 2.2 Market Activity and Size by Instrument Type; 2.2.1 Single- vs. Multiname Instruments; 2.2.2 Sovereign vs. Other Reference Entities; 2.2.3 Credit Quality of Reference Entities; 2.2.4 Maturities of Most Commonly Negotiated Contracts; 2.3 Main Market Participants; 2.3.1 Nondealer End Users; 2.3.2 Buyers and Sellers of Credit Protection 2.4 Common Market Practices2.4.1 A First Look at Documentation Issues; 2.4.2 Collateralization and Netting; Chapter 3: Main Uses of Credit Derivatives; 3.1 Credit Risk Management by Banks; 3.2 Managing Bank Regulatory Capital; 3.2.1 A Brief Historic Digression: The 1988 Basel Accord; 3.2.2 Credit Derivatives and Regulatory Capital Management; 3.2.3 Beyond the 1988 Basel Accord; 3.3 Yield Enhancement, Portfolio Diversification; 3.3.1 Leveraging Credit Exposure, Unfunded Instruments; 3.3.2 Synthesizing Long Positions in Corporate Debt; 3.4 Shorting Corporate Bonds 3.5 Other Uses of Credit Derivatives3.5.1 Hedging Vendor-Financed Deals; 3.5.2 Hedging by Convertible Bond Investors; 3.5.3 Selling Protection as an Alternative to Loan Origination; 3.6 Credit Derivatives as Market Indicators; Part II: Main Types of Credit Derivatives; Chapter 4: Floating-Rate Notes; 4.1 Not a Credit Derivative...; 4.2 How Does It Work?; 4.3 Common Uses; 4.4 Valuation Considerations; 4.5 A Primer on Interest Rate and Spread Sensitivities; 4.5.1 Interest Rate Sensitivity; 4.5.2 Spread Sensitivity; Chapter 5: Asset Swaps; 5.1 A Borderline Credit Derivative... 5.2 How Does It Work?5.3 Common Uses; 5.4 Valuation Considerations; 5.4.1 Valuing the Two Pieces of an Asset Swap; 5.4.2 Comparison to Par Floaters; Chapter 6: Credit Default Swaps; 6.1 How Does It Work?; 6.2 Common Uses; 6.2.1 Protection Buyers; 6.2.2 Protection Sellers; 6.2.3 Some Additional Examples; 6.2.3.1 Synthesizing a (relatively) riskless asset; 6.2.3.2 Adding highly rated assets to one's portfolio; 6.3 Valuation Considerations; 6.3.1 CDS vs. Cash Spreads in Practice; 6.3.2 A Closer Look at the CDS-Cash Basis; 6.3.3 When Cash Spreads Are Unavailable... |