Structured Credit Products Credit Derivatives and Synthetic Securitisation

by Choudhry, Moorad; Duffie, Darrell

• ISBN13: 9780470824139
• ISBN10: 0470824131
• Edition: 2nd
• Format: Hardcover
• Copyright: 2010-06-08
• Publisher: Wiley

Summary

Updated coverage of structured credit products with in-depth coverage of the latest developmentsStructured credit products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown, and a CD-ROM of models and teaching aids.Moorad Choudhry is Head of Treasury at Europe Arab Bank plc in London. He is a Visiting Professor at the Department of Economics at London Metropolitan University.

Author Biography

Moorad Choudhry is Head of Treasury at Europe Arab Bank plc in London, and Visiting Professor at the Department of Economics, London Metropolitan University.
He lives in Surrey, England.

Table of Contents

Foreword: Professor Darrell Duffie, Stanford University	p. xi
Preface	p. xv
Acknowledgements	p. xix
About the Author	p. xxi
Prologue: The 2007-2008 credit and liquidity crunch: Impact on structured credit markets	p. 1
Credit risk and credit derivative instruments	p. 21
Credit risk	p. 27
Credit derivatives I: Unfunded instruments	p. 57
Credit derivatives II: Funded instruments	p. 163
Credit analysis and relative value measurement	p. 185
Credit derivatives III: Applications	p. 203
Credit derivatives pricing and valuation	p. 227
Credit default swap pricing	p. 251
The asset swap-credit default swap basis I: The asset swap pricing of credit default swaps	p. 281
The credit default swap basis II: Analysing the relationship between cash and synthetic markets	p. 293
Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades	p. 343
Syndicated loans, loan-only credit default swaps and CDS legal documentation	p. 371
Structured credit products and synthetic securitisation	p. 403
An introduction to securitisation	p. 405
Synthetic collateralised debt obligations	p. 445
CDO valuation and cash flow waterfall models	p. 507
Synthetic conduits and credit derivative funding structures	p. 533
CD-R	p. 559
Files on the accompanying CD-R	p. 561
Contributing authors	p. 567
Afterword: Econometrics, finance and football	p. 569
Glossary	p. 575
Index	p. 589
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