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An Introduction to Credit Derivatives
Introduces the univariate products, the market environment, and the qualitative aspects of risks of credit derivatives
Moorad Choudhry (Author)
9780080982953
Hardback, published 22 December 2012
158 pages, Illustrated
22.9 x 15.1 x 1.8 cm, 0.38 kg
"An excellent, high-quality account of one of the most important areas of the debt capital and corporate credit markets today." --Didier Joannas, SunGard, Hong Kong "The rapid growth of the credit derivatives markets has been accompanied by similar output in the related literature. For clarity, accessibility, relevance and detail, this is easily the best addition to this literature." --Abukar Ali, Bloomberg L.P.
The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision. Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance.
1. Credit Risk 2. Credit Derivative Instruments: Part I 3. Credit Derivative Instruments: Part II 4. Credit Derivative Instruments: Part III 5. Credit Derivatives Pricing and Valuation 6. Credit Default Swap Pricing 7. The Asset Swap-Credit Default Swap Basis
Subject Areas: Investment & securities [KFFM], Credit & credit institutions [KFFL], Banking [KFFK], Finance [KFF], Finance & accounting [KF]
