Credit Derivatives

by Mark J. Anson

• ISBN13: 9781883249618
• ISBN10: 1883249619
• Format: Hardcover
• Copyright: 1999-09-01
• Publisher: Wiley

Summary

Credit derivatives have become one of the fastest-growing areas of interest in global derivatives and risk management. In Credit Derivatives, Mark Anson skillfully examines this unique investment tool that is now being used to manage credit risk in banking and capital markets around the world. Credit Derivatives discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. This essential guidebook to credit derivatives covers key topics including, credit swaps, credit forwards, credit linked notes, and credit derivative pricing models. Anson also touches on other important credit derivative issues by discussing the implications of credit risk management as well as credit derivative regulation.

Author Biography

Mark J.P. Anson, PhD is the Portfolio Manager for the OppenheimerFunds Real Asset Fund. Prior to joining OppenheimerFunds, he was a Registered Options Principal in Equity Derivatives for Salomon Brothers Inc., and a practicing attorney specializing in the futures and derivatives markets. Dr. Anson is a frequent contributor to academic and professional publications on the topics of risk management, derivatives, and portfolio management. Dr. Anson earned his law degree from the Northwestern University School of Law and his PhD and Masters in Finance from the Columbia Graduate School of Business. He has also earned the Chartered Financial Analyst, Certified Public Accountant, and Certified Management Accountant degrees.

Table of Contents

About the Author	iv
Why Credit Risk Is Important	1	(14)
Credit Options	15	(28)
Credit Swaps	43	(20)
Credit Forwards, Credit Linked Notes, and Other Credit Derivative Structures	63	(24)
Pricing Models for Credit Options	87	(38)
Credit Risk Management	125	(26)
Documentation and Regulation of Credit Derivatives	151	(32)
Accounting and Tax Implications of Credit Derivatives	183	(30)
Index	213