The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990s to over $2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developments in its various segments, such as the market for single-name credit derivatives or the market for credit derivatives written on sovereign credits.
Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.
* Offers a broad overview of this growing field
* Discusses all the main types of credit derivatives
* Provides back-of-the-book summary of statistics and fixed-income mathematics
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Provides a comprehensive introduction to the main isues in the credit derivatives market, including an accessible introduction to valuation methods.From the Back Cover:
Understanding Credit Derivatives and Related Instruments
Antulio N. Bomfim
"Comprehensive in coverage, economical in exposition, very accessible, and a pleasure to read — this book covers the gamut of issues in modern credit modeling in a manner that will appeal to practitioners, academics and students."
— Sanjiv Das, Professor of Finance, Santa Clara University
"This enjoyable book on credit derivatives will be useful to both students of finance and practitioners. Bomfim does for credit what Hull does for options, futures and other derivatives."
--Kay Giesecke, Visiting Assistant Professor, School of Operations Research and Industrial Engineering, Cornell University
"... a most valuable offering in this rapidly expanding area of finance. The book provides an introduction to the credit derivatives market for the uninitiated and then addresses the pricing and valuing of these instruments, as well as describing valuation tools and their use in credit models. The book also provides a most useful description of the documentation of credit derivative transactions under the ISDA forms that govern these transactions."
— Jerry Markham, Professor of Law, Florida International University
"Antulio Bomfim's exploration of the pricing and valuation of credit derivatives is extraordinarily accessible and therefore will serve as an essential primer for those unfamiliar with credit derivative markets. At the same time, the depth of discourse... will be appreciated by experts who seek a better grounding in the fundamental principles of this complex market."
— Heidi Mandanis Schooner, Visiting Professor of Law, George Washington University Law School
Understanding Credit Derivatives and Related Instruments offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.
Antulio N. Bomfim is a Portfolio Manager at OFI Institutional Asset Management in Boston, Massachusetts, a subsidiary of Oppenheimer Funds Inc. He was previously a Senior Economist at the Board of Governors of the Federal Reserve System in Washington, DC.
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