Credit derivatives as a financial tool has been growing exponentially from almost nothing more than seven years ago to approximately US$5 trillion deals completed by end of 2005. This indicates the growing importance of credit derivatives in the financial sector and how widely it is being used these days by banks globally. It is also being increasingly used as a device of synthetic securitisation. This significant market trend underscores the need for a book of such a nature.Kothari, an undisputed expert in credit derivatives, explains thesubject 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, which has significantly revised the rules, particularly on synthetic CDOs; additional inputs on legal issues; and, new clarifications on accounting forcredit derivatives/credit linked notes. INDICE: PART 1: Market, instruments and motivations 1. structure, evolution and motivations a. appendix: Terminology 2. The credit derivatives market PART 2: Single name Instruments 3. Credit default swaps 4. Total rate of return swaps 5. Credit linked notes 6. Credit default swaps on asset backed securities 7. Loan credit default swaps 8. Credit derivative options and other volatility products 9. Equity default swaps, recovery swaps, and other exotic instrumentsPart 3 : Portfolio products 10. Introduction to Portfolio products 11. Introduction to CDOs 12. Index trades and exchange traded futures 13. Single tranche CDOs, CPDOs and other CDO innovations 14. CDO case studies 15. Credit derivative product companiesPart 4: Pricing and valuation of credit derivatives 16.Pricing and valuation of single name credit derivatives 17. Pricing and valuation of portfolio derivatives 18. Trading strategies in credit derivativesPART5: Legal, operational and other technical aspects 19. Legal aspects of creditderivatives 20. Documentation for credit derivatives 21. Operational aspects of credit derivatives 22. Taxation of credit derivative products 23. Accounting for credit derivatives 24. Regulatory capital, Basle norms and credit derivatives 25. Economic capital and credit derivatives a. An epilogue that would contain a general commentary on the developments in the market in the wake of subprime.b. Terminology.
- ISBN: 978-0-470-82292-0
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 768
- Fecha Publicación: 01/05/2009
- Nº Volúmenes: 1
- Idioma: Inglés