The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics.
Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book.
- Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors - Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment - Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more
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Credit Derivatives: Definitions, Market, Uses (3 chapters)
Main Types of Credit Derivatives (13 chapters)
Introduction to Credit Modeling I: Single Name Defaults (4 chapters)
IV: Introduction to Credit Modeling II: Portfolio Credit Risk (5 chapters)
A Brief Overview of Documentation and Regulatory Issues (2 chapters)
VI Hedging and Trading Credit Default Swaps (3 chapters)
Antulio N. Bomfim Senior Managing Director and Co-Head of Monetary Policy Insights at Macroeconomic Advisers, LLC. He received his M.A. and Ph.D. in
Economics at the University of Maryland and his M.Sc.in Mathematical Finance at the University of Oxford.