Kothari, an undisputed expert in credit derivatives, explains the subject matter using easy-to-understand terms, presents it in a logical structure, demystifies the technical jargons and blends them into a cohesive whole.
This revised book will also include the following:
- New credit derivative definitions
- New features of the synthetic CDO market
- Case studies of leading transactions of synethetic securitisations
- Basle II rules - The Consultative Paper 3 has significantly revised the rules, particularly on synthetic CDOs
- Additional inputs on legal issues
- New clarifications on accounting for credit derivatives/credit linked notes
PART 1 MARKET, INSTRUMENTS AND MOTIVATIONS.
Chapter 1: Credit derivatives: Structure, evolution, motivations, and economics.
Chapter 2: Credit derivatives: Market, evolution, and current status.
PART 2 SINGLE-NAME INSRTUMENTS.
Chapter 3: Credit default swaps.
Chapter 4: Total rate of return swaps.
Chapter 5: Credit-linked notes.
Chapter 6: Credit default swaps on asset-backed securities and derivatives exposures.
Chapter 7: Loan-only CDS.
Chapter 8: Credit derivatives options and volatility trades.
Chapter 9: Equity default swaps, recovery swaps and other exotic products.
PART 3 PORTFOLIO PRODUCTS.
Chapter 10: Portfolio credit derivatives and introduction to structured credit trading.
Chapter 11: Introduction to collateralized debt obligations.
Chapter 12: Index trades.
Chapter 13: Single-tranche synthetic CDOs, CPDOs, and other CDO innovations.
Chapter 14: CDO case studies.
Chapter 15: Credit derivative product companies.
PART 4 PRICING AND VALUATION OF CREDIT DERIVATIVES.
Chapter 16: Approaches to quantification of credit risk.
Chapter 17: Pricing of a single name credit derivative.
Chapter 18: Pricing of a portfolio credit default swap.
PART 5 LEGAL, REGULATIORY, OPERATIONAL, TAX AND ACCOUNTING ASPECTS.
Chapter 19: Legal aspects of credit derivatives.
Chapter 20: Documentation for credit derivatives.
Chapter 21: Taxation of credit derivatives.
Chapter 22: Accounting for credit derivatives.
Chapter 23: Regulatory capital and other regulations on credit derivatives.
Chapter 24: Operational issues.
Chapter 25: Credit derivatives terminology.