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Asset-Backed Credit Derivatives
Risk Waters, March 2008, Pages: 300
Accessible to investors at all levels, this is a detailed market overview covering everything from pricing and legal issues to market practices and common pitfalls in dealing with asset-backed credit derivatives (ABCDs).
In response to the US sub-prime fiasco and the current liquidity crisis, this is a cutting-edge treatment of credit derivatives linked to asset-backed securities such as mortgage-backed securities and collateralised debt obligations (CDOs).
Written by an experienced trader, this pioneering guide focuses on real-life examples and deals, rather than theory or complex maths. Accessible to investors at all levels including:
The asset-backed credit derivatives
-Credit default swaps on asset-backed securities (ABS)
-Credit-linked notes and total return swaps
-Index swaps
-Synthetic securitisation
-Synthetic CDOs of ABS
-Issues in pricing and modelling
-Investment vehicles.
It contains comprehensive case studies highlighting the key issues to consider in structuring or risk managing such deals.
This pioneering book is recommended reading for credit investors including traders, investment managers and pension fund trustees.
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The Structured Credit Products Handbook 2007/08
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Credit Derivatives: Understanding the Instruments, Applications and Pricing
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Credit Derivatives: Applications For Risk Management
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