Implementing circuit derivatives: strategies & techniques for using credit derivatives in risk management


Language: Anglais
Cover of the book Implementing circuit derivatives: strategies & techniques for using credit derivatives in risk management

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256 p. · 23x15.7 cm · Hardback
Hands-On Guidelines for Effective Credit Derivatives UseÑfrom One of the Industry's Most Authoritative Derivatives Experts. By allowing investors to unbundle credit risk from underlying instruments such as loans, bonds, or swaps, credit derivatives protect bond holders and lenders from the ever-present danger of issuer or borrower default. This relatively new asset class is on course to become a $100 trillion market by 2000. Confusion over how to effectively use these volatile instruments has been rampant, and investors have had difficulty getting trusted information and guidelines. But in IMPLEMENTING CREDIT DERIVATIVES, Israel NelkenÑone of the world's leading authorities on credit derivatives, exotic options, and financial engineeringÑexplains their use in everyday financial engineering practice. This comprehensive treatment provides hands-on explanations and case studies that cover: The structure and mechanics of alternative credit derivative products, The mechanics of creating, analyzing, and valuing structured credit derivatives, Successful strategies for trading and hedging credit derivatives, Important yet easily overlooked regulatory and legal issues, Similarities between credit derivatives and other financial instruments, e.g., repo trades, When to use credit derivatives versus CBOs or CLOsÑand why, Similarities and differences between various credit risk management systems, such as the JP Morgan Credit Metrics system and CreditRisk+ by Credit Suisse Financial Products (CSFP), Regulatory and economic capital aspects, How to use credit derivatives as a uniquely effective hedge in today's volatile emerging markets. IMPLEMENTING CREDIT DERIVATIVESÑpacked with successful strategies for trading and hedging credit derivatives and with numerous case studies that emphasize credit derivatives in everyday actionÑwill hone your instincts and abilities ... and help you get the most benefit from these important investment vehicles.
Preface. Introduction. The Structures. Legal and Regulatory Aspects (by Claude Brown of Clifford Chance). Analysis of Credit Spreads. Revenue-Neutral Diversification. Examination of Term Sheets. Credit Derivatives and the Repo Markets. Collateralized Bond Obligations. Locating the CD Function within a Bank. Credit Risk Management in Asia. CreditMetrics. CreditRisk+. Credit Derivatives and Bank Loans. Creation and Analysis of Structured Credit Derivatives. The Valuation of Credit Derivatives. Analysis and Pricing. Glossary. Index.