Credit Derivatives and Credit Linked Notes (Wiley Finance) - Hardcover

Das, Satyajit

Hardcover

ISBN 10: 0471840319 ISBN 13: 9780471840312

Publisher: John Wiley & Sons, 2000

Synopsis

An updated and enhanced look at the management and trading of credit risk in terms of the markets, regulations, and nature of the product Credit derivatives have emerged as a significant area in global derivatives and risk management practice. These instruments have begun to revolutionize the management of credit risk in banking and capital markets. This book clearly explains how to structure and apply these products to solve risk management problems as well as how to price and value these instruments. Readers will find the Second Edition completely up-to-date with the latest information in the field. New topics have been added, including credit-linked notes, pricing models, default statistics, credit portfolio management, regulatory framework for credit derivatives, and market developments and prospects. This edition reflects the rapid evolution in the market and new contributors provide additional insight that readers will find beneficial. Satyajit Das (Singapore) is the author of several key financial books including Swap Financing; Swaps and Financial Derivatives: The Global Reference to Products, Pricing, Applications and Markets; and Exotic Options.

About this title

Review

"It succeeds on every level from the practical to the mathematical, and has no equal at this time." -- FOW, September 2000

From the Back Cover

Credit Derivatives and Credit Linked Notes is a complete reference work on credit derivatives and offers comprehensive information on credit derivative products, applications, pricing/ valuation approaches, documentation issues and accounting/ taxation aspects of such transactions.

The book includes:

• Coverage of all major credit derivative structures including credit derivatives, credit linked notes, repackaging structures and portfolio securitisation·
• Examples of applications: Pricing approaches and models as well as credit portfolio management.
• Regulatory framework for credit derivatives: Documentation, accounting and taxation of credit derivative structures·
• Implications of credit derivatives for banking and credit management generally

Edition details

• Publisher: John Wiley & Sons
• Publication date: 2000
• ISBN 10: 0471840319
• ISBN 13: 9780471840312
• Binding: Hardcover
• Language: English
• Edition number: 2
• Number of pages: 964