Credit Derivatives : Instruments, Applications and Pricing

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Business & Economics - Mathematical Economics
Credit Derivatives : Instruments,...

Credit Derivatives : Instruments, Applications and Pricing

Name: Credit Derivatives : Instruments, Applications and Pricing
ISBN: 9780471652380

Mark J. Anson PhD CFA, Frank J. Fabozzi CFA, Moorad Choudhry, Ren-Raw Chen

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Credit derivatives are the newest entrant to the world of derivatives–and they have quickly become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives: Instruments, Applications, and Pricing provides an in-depth explanation of this risk management tool, which has been increasingly used to manage credit risk in banking and capital markets.

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.

种类:

Business & Economics - Mathematical Economics

年:

2004

出版社:

Wiley

语言:

english

页:

354

ISBN 10:

0471652385