Credit Derivatives & Synthetic Structures: Instruments, Applications, and Pricing (Frank J. Fabozzi Series) - Hardcover

Hardcover

ISBN 10: 047146600X ISBN 13: 9780471466000

Verlag: Wiley & Sons, 2003

Inhaltsangabe

An essential guide to credit derivativesCredit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.
Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.

Über diesen Titel

Über die Autorin bzw. den Autor

MARK J.P. ANSON, PhD, CFA, is the Chief Investment Officer at CalPERS and is a frequent contributor to academic and professional publications on the topics of risk management, derivatives, and portfolio management.

FRANK J. FABOZZI, PhD, CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, a Fellow of the International Center for Finance at Yale University, and Editor of the Journal of Portfolio Management.

MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UK Limited, and a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.

REN-RAW CHEN, PhD, is an Associate Professor of Finance at Rutgers University School of Business (New Brunswick), a frequent contributor to major academic finance journals, and a speaker at many academic conferences.

Von der hinteren Coverseite

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.

Details zur Ausgabe

• Verlag: Wiley & Sons
• Erscheinungsdatum: 2003
• Sprache: Englisch
• ISBN 10: 047146600X
• ISBN 13: 9780471466000
• Einband: Gebundene Ausgabe
• Auflage: 1
• Anzahl der Seiten: 288
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar