Credit Derivatives : Techniques to Manage Credit Risk for Financial Professionals

by Banks, Erik; Glantz, Morton; Siegel, Paul

• ISBN13: 9780071453141
• ISBN10: 0071453148
• Edition: 1st
• Format: Hardcover
• Copyright: 2006-10-10
• Publisher: McGraw-Hill

Summary

"Credit Derivatives is an easy-to-understand guide to the nature of credit derivatives, their types and features, and their practical uses in credit portfolio management."--BOOK JACKET.

Author Biography

Paul Siegel (New York, NY) is chairman and CEO of The Globecon Group, a leading provider of consulting, education, training, and other professional development services to clients including ABN AMRO, J. P. Morgan, Deutsche Bank, and Moody’s. Siegel previously held executive positions at Olympia & York, Cushman & Wakefield, and Daiwa Securities American.

Table of Contents

Acknowledgments	vii
Part 1 Credit Derivative Products and Applications	1	(120)
An Introduction to Credit Derivatives	3	(22)
Fundamental Credit Derivative Products	25	(28)
Structured and Synthetic Credit Products	53	(44)
An Overview of Credit Derivative Applications	97	(24)
Part 2 Quantitative Tools	121	(162)
A Primer on Risk Modeling	123	(40)
A Basic Credit Default Swap Model	163	(20)
Modeling Credit Default Risk	183	(34)
Portfolio Management of Default Risk	217	(38)
Ancillary Credit Risk Tools and Techniques	255	(28)
Part 3 Regulatory, Control, and Legal Issues	283	(34)
Credit Derivative Documentation	285	(16)
Regulatory and Control Issues	301	(16)
Appendix A Review of Commercial Credit Modeling Analytics	317	(6)
Answers to Chapter Exercises	323	(22)
Selected References	345	(4)
Index	349