In this comprehensive text, Mark J.P. Anson, Frank J. Fabozzi, Moorad Choudhry, and Ren–Raw Chen cover everything, from the basics of why credit risk is important, to accounting and tax implications of credit derivatives.
Key topics discussed in this essential guidebook include:
- Types of credit risk
- Credit default swaps
- Credit–linked notes
- Synthetic collateralized debt obligation structures
- Credit risk modeling: structural models and reduced form models
- Options and forwards on credit–related spread products
- Pricing of credit default swaps
Using Bloomberg screens, illustrative examples, basic investment theory, and mathematics, Credit Derivatives covers the real–world practice and applications of credit derivatives products.
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 Obligation Structures.
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 Spread Products.
Chapter 12. Accounting for Credit Derivatives.
Chapter 13. Taxation of Credit Derivatives.
FRANK J. FABOZZI, PhD, CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University s School of Management, a Fellow of the International Center for Finance at Yale University, and Editor of the Journal of Portfolio Management.
MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UK Limited, and a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.
REN–RAW CHEN, PhD, is an Associate Professor of Finance at Rutgers University School of Business (New Brunswick), a frequent contributor to major academic finance journals, and a speaker at many academic conferences.