Credit Derivatives: CDOs and Structured Credit ProductsThe Third Edition of Credit Derivatives is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions. Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format -- all chapters have been written by the author, Satyajit Das. Key areas of new and enhanced coverage include:
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Contents
Structured Credit Products | 153 |
Credit Linked Notes | 239 |
Collateralised Debt Obligations | 305 |
Copyright | |
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Common terms and phrases
amount approach arbitrage asset swap assumed bank basis bond buyer of protection calculated cash flows CDO tranches collateral collateralised Company corporate counterparty coupon credit default swap Credit Derivatives credit event credit exposure credit index credit linked notes credit portfolio credit quality credit risk credit spread currency dealer debt default correlation default probability default risk deliverable obligations derivative transaction Derivatives 3rd Edition emerging market entails equity default swap example Exhibit face value factors Financial Derivatives Fitch Ratings increase interest rate investor ISDA issuer issues John Wiley leveraged LIBOR liquidity loan mark-to-market maturity million obligors option payment position purchase recovery rate reference asset reference entity reflects regulatory capital repackaging vehicle restructuring Risk Management Satyajit securities seller of protection senior tranche Singapore at Chapter specific structured finance structured note super senior swaption synthetic securitisation term total return swap trading tranche transfer underlying asset volatility