Credit Derivatives and Structured Credit Trading, Revised Edition

Description

Credit derivatives as a financial tool has been growing exponentially from almost nothing more than seven years ago to approximately US$5 trillion deals completed by end of 2005. This indicates the growing importance of credit derivatives in the financial sector and how widely it is being used these days by banks globally. It is also being increasingly used as a device of synthetic securitisation. This significant market trend underscores the need for a book of such a nature. Kothari, an undisputed expert in credit derivatives, explains the subject matter using easy-to-understand terms, presents it in a logical structure, demystifies the technical jargons and blends them into a cohesive whole. This revised book will also include the following: - New credit derivative definitions - New features of the synthetic CDO market - Case studies of leading transactions of synethetic securitisations - Basle II rules - The Consultative Paper 3 has significantly revised the rules, particularly on synthetic CDOs - Additional inputs on legal issues - New clarifications on accounting for credit derivatives/credit linked notesContent: Chapter 1 Credit derivatives: Structure, evolution, motivations, and economics (pages 1–46): Chapter 2 Credit derivatives: Market, evolution, and current status (pages 47–77): Chapter 3 Credit default swaps (pages 79–98): Chapter 4 Total rate of return swaps (pages 99–105): Chapter 5 Credit?linked notes (pages 107–112): Chapter 6 Credit default swaps on asset?backed securities and derivatives exposures (pages 113–124): Chapter 7 Loan?only CDS (pages 125–131): Chapter 8 Credit derivatives options and volatility trades (pages 133–149): Chapter 9 Equity default swaps, recovery swaps and other exotic products (pages 151–155): Chapter 10 Portfolio credit derivatives and introduction to structured credit trading (pages 157–165): Chapter 11 Introduction to collateralized debt obligations (pages 167–202): Chapter 12 Index trades (pages 203–215): Chapter 13 Single?tranche synthetic CDOs, CPDOs, and other CDO innovations (pages 217–231): Chapter 14 CDO case studies (pages 233–261): Chapter 15 Credit derivative product companies (pages 263–275): Chapter 16 Approaches to quantification of credit risk (pages 277–292): Chapter 17 Pricing of a single name credit derivative (pages 293–302): Chapter 18 Pricing of a portfolio credit default swap (pages 303–315): Chapter 19 Legal aspects of credit derivatives (pages 317–364): Chapter 20 Documentation for credit derivatives (pages 365–380): Chapter 21 Taxation of credit derivatives (pages 381–392): Chapter 22 Accounting for credit derivatives (pages 393–411): Chapter 23 Regulatory capital and other regulations on credit derivatives (pages 413–423): Chapter 24 Operational issues (pages 425–434): Chapter 25 Credit derivatives terminology (pages 435–461):