Handbook of Credit Derivatives

by Francis, Jack Clark; Frost, Joyce A.; Whittaker, J. Gregg

• ISBN13: 9780070225886
• ISBN10: 0070225885
• Format: Hardcover
• Copyright: 1999-09-01
• Publisher: McGraw-Hill

Summary

For financial professionals, credit derivatives are uniquely powerful tools to manage credit risk--tools that are less costly and more effective than traditional methods. Investors, on the other hand, appreciate the efficiency with which they can use credit derivatives to easily access different sectors of the credit markets. Regardless of your perspective, The Handbook of Credit Derivatives will give you expert knowledge and insights into credit-derivatives, arm you with the latest professional tactics and techniques for pricing and evaluating these versatile securities, and help you get your arms around today's most exciting, rewarding risk management and investment tool. Book jacket.

Author Biography

Jack Clark Francis, Ph.D. is a professor of economics and finance at Bernard M. Baruch College in New York City.

Table of Contents

Contributors	xv
PART ONE INTRODUCTION
An Introduction to Credit Derivatives	3	(24)
Robert S. Neal
Douglas S. Rolph
Credit Risk	4	(6)
Managing Risk with Credit Derivatives	10	(6)
Credit Derivatives: Risks and Regulatory Issues	16	(3)
Conclusion	19	(8)
PART TWO INVESTMENT AND RISK MANAGEMENT APPLICATIONS
Building Efficient Synthetic Positions and Using Credit-Linked Notes	27	(16)
J. Gregg Whittaker
Evy Adamidou
Introduction	27	(1)
The Basic Structures	28	(4)
Investment Applications	32	(8)
Future Market Development	40	(1)
Conclusion	41	(2)
Credit Derivatives and Loan Portfolio Management	43	(44)
Blythe Masters
Kelly Bryson
Introduction: Credit Derivatives in the Context of a Changing Banking Industry	43	(2)
Key Characteristics of Credit Derivatives	45	(2)
Credit Derivative Structures	47	(9)