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Credit Derivatives: The Definitive Guide


Description: Presenting a unique encyclopedic view of the credit derivatives market this new multi-contributor title will guide you in all aspects of this rapidly growing sector
– providing you with a firm grasp of everything from the basics to the more involved quantitative issues.As the definitive guide to credit derivatives this expansive volume deals with its subject matter in both greater breadth and depth than any single text has ever before achieved. An eminent selection of over 30 influential contributors provide you with a thorough yet detailed analysis of every aspect of the credit derivatives industry including its related markets, products, applications and regulatory issues.Joining the list of renowned practitioners, leading quantitative analysts and academics provide insight into the more technical aspects and illustrate a selection of practical modelling approaches. From the pricing of credit default swaps, options, hybrids and CDOs to the modelling and hedging of default risk you will find a wealth of insight and instruction that teaches you to apply these techniques to your own projects. Topics such as the analysis of credit spread returns, the CDS-bond basis and modified restructuring are discussed in detail.You will also find in-depth coverage of the legal and regulatory issues impacting upon the field with plenty of helpful advice on how to implement effective solutions for compliance to both Basel II and IAS 39. What's more the title contains detailed coverage of the CDO market, including cash, synthetic, single tranche and CDO of CDO structures, and discusses default correlation, credit portfolio risk and credit portfolio optimisation.As a guide to the purchase and use of credit derivatives, this definitive guide has no equal. With succinct presentation of all the important facts and key techniques used in the market, Credit Derivatives' 21 chapters will bring you right up-to-date with all the inside knowledge you need to aid your progress in this complex industry.Combining the views of some of the most prominent thinkers and renowned practitioners in the credit derivatives market, this title's unique encyclopaedic coverage of the sector spans everything from the basics to much more advanced quantitative issues
- Guides the risk professional in the purchase and use of credit derivatives, including in-depth advice on how to avoid the pitfalls
- Unlike other titles available on the market, Credit Derivatives provides a thorough yet detailed overview of all areas of credit derivatives knowledge including the products, applications, markets and regulatory issues
- Illustrates a selection of models presented by leading quants in the field who provide insight into the more technical aspects including advanced theoretical issues and different modelling approaches
- An extensive range of related key topics are additionally covered including: default protection, portfolio management, Basel II, credit linked notes, CDOs and much more

"This is the book to read on credit derivatives... easily the most authoritative available." ~ Glyn Holton, Contingency Analysis

"By tapping into the knowledge base of numerous very experienced and seasoned market professionals, this book provides a unique insight into the latest developments of the ever growing credit derivatives market." ~ Paul van der Maas


Contents: Foreword
The Challenges of a Dynamic Marketplace
Simon Greaves, Application Networks

Introduction
Jon Gregory

Section 1. The default swap market

1. Credit derivatives: the past, the present and the future
Robert Reoch

2. The determinant of credit spread returns
Jouke Hottinga, Aegon and Machiel Zwanenburg, Robeco.

3. What's driving the default swap basis?
Viktor Hjort, Morgan Stanley.

4. What is the value of modified restructuring?
Alex Reyfman and Klaus Toft, Goldman Sachs.

5. The debt and equity linkage and the valuation of credit derivatives
Sean Keenan, Jorge Sobehart and Terry Benzschawel, CitiGroup.

Section 2. Default correlation and credit portfolio risk

6. Nth to default swaps and notes: all about default correlation
Douglas Lucas and Alberto Thomas, UBS.

7. Portfolio Credit Risk Models
Greg Gupton, Moodys KMV.

8. Credit Derivatives as an Efficient Way of Transitioning to Optimal Portfolios
Alla Gil, Citigroup.

Section 3. Structured credit derivatives and portfolio management

9. Overview of the CDO market
Eileen Murphy, Barclay's Capital.

10. Synthetic securitisation and structured credit derivatives
Paul Hawkins, Merrill Lynch.

11. Structured credit and the collateralised synthetic obligation
Moorad Choudhry, KBC Financial Products.

12. Distinguishing a synthetic CDO from a cash CDO
Alexander Batchvarov, Jenna Collins and William Davies, Merrill Lynch.

13. CDOs of CDOs
Darren Smith, Dresner Kleinwort Benson.

Section 4. Models and valuation

14. Valuation and risk analysis of synthetic CDOs: A copula function approach
David X Li and Jure Skarabot, Citigroup.

15. Extreme events and multi-name credit derivatives
Roy Mashal, Marco Naldi and Assaf Zeevi, Lehman Brothers.

16. Reduced-form models: curve construction and the pricing of credit swaps, options, and hybrids
Leif Anderson, Bank of America.

17. Dynamite dynamics
Jesper Andreasen, Nordea Markets.

18. Modelling and hedging of default risk
Monique Jeanblanc and Marek Rutkowski, University d'Evry and Warsaw University of Technology.

Section 5. Regulatory, documentation and legal aspects

19. ISDA's role in the credit derivatives marketplace
Louise Marshall, ISDA.

20. Credit linked notes
Rodanthy Tzani and Maria Leibholz, Moody's Investor Services.

21. Using guarantees and credit derivatives to reduce credit risk capital requirements under the new Basel Capital Accord
Erik Heitfield, Federal Reserve Board.




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