Credit Derivatives and Credit Linked Notes, 2nd Edition

by Satyajit Das

• ISBN13: 9780471840312
• ISBN10: 0471840319
• Edition: 2nd
• Format: Hardcover
• Copyright: 2000-11-01
• Publisher: WILEY

Summary

Satyajit Das (Singapore) is the author of several key financial books including Swap Financing; Swaps and Financial Derivatives: The Global Reference to Products, Pricing, Applications and Markets; and Exotic Options.

Author Biography

Satyajit Das is an international specialist in the area of financial derivatives, risk management, capital markets and treasury management. He presents seminars on these subjects and acts as a consultant to a number of leading banks in Europe, North America, Asia and Australia.

Table of Contents

List of Contributors	xi
About the Contributors	xii
Introduction	xix
PART ONE - PRODUCTS & STRUCTURES	1	(168)
Credit Derivatives -- Products	3	(66)
S. Das
Credit Linked Notes -- Structured Notes	69	(28)
S. Das
Credit Linked Notes -- Repackaged Notes & Repackaging Vehicles	97	(30)
S. Das
Credit Linked Notes -- Credit Portfolio Securitization Structures	127	(42)
S. Das
PART TWO - APPLICATIONS	169	(68)
Credit Derivatives - Applications	171	(66)
S. Das
PART THREE - PRICING & VALUATION ISSUES	237	(298)
Modeling Credit Risk/Pricing Credit Derivative Instruments	239	(92)
S. Das
Using Default Rates to Model Term Structure of Credit Risk	331	(18)
Jerome S. Fons
Analytics and Algorithms for Credit Derivatives	349	(20)
Haydn Stedman
Modeling Default Risk	369	(42)
Peter Crosbie
Historical Defaults and Recoveries for Corporate Bonds	411	(66)
Sean C. Keenan
David T. Hamilton
Lea V. Carty
Credit Rating Dynamics: Moody's Watchlist, Rating Migration, and Credit Quality Correlation	477	(58)
Sean C. Keenan
Jerome S. Fons
Lea V. Carty
PART FOUR - CREDIT PORTFOLIO MANAGEMENT	535	(94)
Overview to Credit Risk Modeling	537	(20)
Andrew Hickman
CreditMetrics™: Assessing the Marginal Risk Contribution of Credit	557	(32)
Greg Gupton
Creditrisk+™	589	(40)
Tom Wilde
PART FIVE - MARKETS	629	(26)
The Market for Credit Derivatives	631	(24)
Robert Reoch
PART SIX - RATINGS, DOCUMENTATION ACCOUNTING, & TAXATION ISSUES	655	(218)
Rating Implications for Credit Derivatives	657	(12)
Nels Anderson
Documentation & Legal Issues	669	(78)
Christopher Whiteley
Accounting for Credit Derivatives, PricewaterhouseCoopers	747	(70)
Credit Derivatives and Credit Linked Notes - Regulatory Treatment	817	(56)
S. Das
PART SEVEN - CONCLUSIONS	873	(57)
Credit Derivatives and Credit Risk Management - Evolution and Prospects	875	(55)
S. Das
Index	930