Implementing Credit Derivatives
This text goes beyond the fundamentals of credit derivatives, to explore the practical realities of derivatives in a credit risk management strategy. Key regulatory and legal issues are covered, along with case studies to demonstrate application of the strategies discussed.
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The Credit Paradox
A Bit of History
Legal and Regulatory Aspects by Claude Brown
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$10 million asset swap assume Bankers Trust basis points borrower Calculation Agent cash flows client collateral Conditions to Payment consider counterparty credit default products credit default swap credit derivatives credit event credit rating credit risk management credit spread credit swap credit-linked note CreditMetrics deal dealer debt default correlation default rate downgraded economic capital equity example Figure hedge fund high-quality bank interest rate investment issue issuer J.P. Morgan junior tranche Libor loan portfolio loss marked to market market risk maturity obligor party payout Physical Settlement portfolio manager principal probability of default Protection Buyer Protection Seller put option recovery value reference credit Reference Entity Reference Obligation reference security regulatory capital return on capital risk capital risk weighting risk-free sector sell specific risk structured note Table total return swap trading book Transaction U.S. Treasury underlying asset volatility yield