简介
Summary:
Publisher Summary 1
The author/editor has produced two stand-alone or companion volumes. Only one third of the original material remains.
New Markets and Products begins with two chapters on emerging markets. The book then goes on to cover markets and products of increasing complexity: standard equity and interest rate derivatives, exotic options, swap (and swaptions), volatility trading and finally credit derivatives.
The contributors are all acknowledged experts in their fields: Michael Howell, Mark Fox, Ian King, Chris Rogers, Andrew Street, Riccardo Rebonato, Edmond Levy, Bryan Thomas, Vincent Lacoste, Desmond Fitzgerald and Blythe Masters.
New Markets and Products will be an essential reference tool for risk managers, institutional investors, fund managers, bankers, corporate treasurers and financial consultants.
"In this volume Carol Alexander has gathered together ten articles that are concerned with important recent developments in financial markets. Two of the articles are concerned with emerging markets. They explore the reasons for their growth and the nature of the investment opportunities available. The remaining eight articles are concerned with derivatives. There are chapters on equity derivatives, interest rate derivatives, exotic options, volatility trading, and credit derivatives. The final chapter on credit derivatives is particularly timely. This market is in the process of transforming the way banks manage credit risk. I have seen no other discussion of the market as comprehensive and useful as that provided by Blythe Masters.
Market participants and students alike will find much useful and thought-provoking information in this volume."
- John Hull, August 1998
目录
Table Of Contents:
List of Contributors xi(2)
About the Contributors xiii(4)
Preface xvii(2)
Foreword xix
1 Emerging Markets I 1(36)
Michael J. Howell
1.1 Introduction 1(6)
1.2 Growing Countries not Poor Countries 7(5)
1.3 Cross-Border Capital Flows 12(3)
1.4 Markets in Emerging Financial Assets 1.4 Markets in Emerging Financial Assets 15(3)
1.5 The Financial Structure of Emerging Economies 18(2)
1.6 The Future Size of Emerging Stock Markets 20(1)
1.7 The Growing Need for Financial Development 21(3)
1.8 Conclusion 24(2)
1.9 Appendix 1: Selected Data on Emerging Markets 26(4)
1.10 Appendix 2: Valuation Methods 30(4)
1.11 Endnotes 34(1)
1.12 References 35(2)
2 Emerging Markets II 37(44)
Mark Fox
Ian King
2.1 Introduction 37(5)
2.1.1 The Beginnings of Emerging Markets 37(1)
2.1.2 Defining Emerging Markets 38(2)
2.1.3 The Size of Emerging Markets 40(2)
2.2 Do Emerging Markets Constitute a Separate Asset Class? 42(3)
2.3 Non-Performing Loans 45(2)
2.3.1 History 45(1)
2.3.2 The Present Market 46(1)
2.4 Brady Bonds 47(9)
2.4.1 History 47(1)
2.4.2 Structures of Brady Plans 47(2)
2.4.3 The Brady Market 49(1)
2.4.4 Analysing Brady Bonds 50(3)
2.4.5 Evaluating Default Risk 53(1)
2.4.6 Income Guarantees 54(1)
2.4.7 Trading Strategies Exclusive to Brady Bonds 55(1)
2.5 Eurobonds 56(1)
2.5.1 History 56(1)
2.5.2 A Changing Role 56(1)
2.6 The Role of Credit Curves 57(3)
2.6.1 Using Credit Curves 57(1)
2.6.2 Analysing Credit Curves 58(1)
2.6.3 Trading Credit Curve Shapes 59(1)
2.7 Local Markets and Emerging Market Currencies 60(6)
2.7.1 The Role of Local Markets in the Investing Cycle 60(2)
2.7.2 The Character of Local Emerging Debt Markets 62(1)
2.7.3 Russia--A Case Study 63(1)
2.7.4 Strategic Uses for Investing in Local Markets 64(1)
2.7.5 Trading and Managing Local Currency Exposure 65(1)
2.7.6 Trading and Managing Local Interest Rate Exposure 66(1)
2.8 Equities 66(7)
2.8.1 History 67(1)
2.8.2 Analysing Emerging Equity Stocks 68(1)
2.8.3 Trading and Managing Emerging Equity Market Exposure 69(1)
2.8.4 Strategic Uses for Investing in Emerging Equity Markets 70(3)
2.8.5 Benchmarks 73(1)
2.9 Derivatives 73(4)
2.9.1 Options 73(1)
2.9.2 Repurchase Agreements 74(1)
2.9.3 Structured Notes 74(1)
2.9.4 Credit Derivatives 75(1)
2.9.5 Relative Value Trades 76(1)
2.9.6 Equities 76(1)
2.10 Special Considerations in Evaluating Relative Value 77(2)
2.10.1 A Matrix Approach to Regional and Asset Allocation 77(1)
2.10.2 Past Experience 78(1)
2.11 Endnotes 79(2)
3 The Origins of Risk-Neutral Pricing and the Black-Scholes Formula 81(14)
L.C.G. Rogers
3.1 Introduction 81(1)
3.2 Portfolio Choices 82(2)
3.3 Some Notions and Notations from Probability 84(2)
3.4 Optimal Investment 86(3)
3.5 The Binomial Market and the Black-Scholes Formula 89(2)
3.6 Appendix: Two Other Approaches 91(2)
3.7 Endnotes 93(1)
3.8 References 94(1)
4 Equity Derivatives 95(28)
Andrew Street
4.1 Introduction 95(6)
4.1.1 Aims and Scope of this Chapter 95(1)
4.1.2 Classification of Equity Derivatives 96(1)
4.1.3 General Features of Pricing Equity Derivatives 96(5)
4.2 Historical Development 101(4)
4.2.1 Listed Equity Derivatives 101(3)
4.2.2 Unlisted or "Over-the-Counter" Equity Derivatives 104(1)
4.3 The Utility of Equity Derivatives 105(5)
4.3.1 The Evaluation of Risk and Return 106(1)
4.3.2 Tax Efficiency 106(1)
4.3.3 Regulatory Efficiency 107(1)
4.3.4 Leverage 108(1)
4.3.5 Implementation of Specific Investment Views 108(1)
4.3.6 Efficiency and Cost Effectiveness 108(1)
4.3.7 The Utility of Equity Derivatives for Borrowers 109(1)
4.4 The Role of the Investment Bank in the Creation of Equity Derivatives 110(2)
4.4.1 Capital 110(1)
4.4.2 Credit 111(1)
4.4.3 Risk Aggregation 111(1)
4.4.4 Technology 111(1)
4.5 Index Products 112(4)
4.5.1 Exchange Traded Equity Derivatives 112(2)
4.5.2 Over-the-Counter Traded Equity Derivatives 114(1)
4.5.3 Hybrid Equity Derivatives 115(1)
4.6 Single Stocks, Bespoke Index Products 116(1)
4.7 Future Development for Equity Derivatives 117(1)
4.8 Glossary of Terms 118(2)
4.9 References 120(3)
5 Interest Rate Option Models: A Critical Survey 123(52)
Riccardo Rebonato
5.1 Introduction and Outline of the Chapter 123(2)
5.2 Yield Curve Models: A Statistical Motivation 125(3)
5.2.1 Statistical Analysis of the Evolution of Rates 125(2)
5.2.2 A Framework for Option Pricing 127(1)
5.3 The No-Arbitrage Conditions 128(7)
5.3.1 Definition of No-arbitrage in a Complete Market 128(1)
5.3.2 The Condition of No-arbitrage: Vasicek's Approach 129(1)
5.3.3 The Condition of No-arbitrage: The Martingale Approach 130(2)
5.3.4 First Choice of Numeraire: The Money Market Account 132(1)
5.3.5 Second Choice of Numeraire: A Discount Bond 133(1)
5.3.6 The General Link Between Different Measures 134(1)
5.4 The Implementation Tools 135(9)
5.4.1 Lattice Approaches: Justification and Implementation 135(4)
5.4.2 Monte Carlo (MC) Approaches 139(3)
5.4.3 PDE Approaches: Finite Differences Schemes and Analytic Solutions 142(2)
5.5 Analysis of Specific Models 144(25)
5.5.1 BDT: Model Implications and Empirical Findings 144(6)
5.5.2 Extended Vasicek (HW): Model Implications and Empirical Findings 150(7)
5.5.3 Longstaff and Schwartz: Model Implications and Empirical Findings 157(9)
5.5.4 The HJM Approach 166(3)
5.6 Conclusions or "How to Choose the Best Model" 169(3)
5.7 References 172(3)
6 Exotic Options I 175(28)
Edmond Levy
6.1 Introduction 175(1)
6.2 Asian Options 176(9)
6.2.1 Definition and Uses 176(4)
6.2.2 Valuation Approaches 180(3)
6.2.3 Risk Management of Asian Options 183(2)
6.3 Binary and Contingent Premium Options 185(5)
6.3.1 Examples and Uses 187(1)
6.3.2 Valuation and Hedging 187(3)
6.4 Currency Protected Options 190(7)
6.4.1 Cross-Market Contracts 190(2)
6.4.2 Valuation of Cross-Market Contracts 192(2)
6.4.3 Currency Basket Options 194(3)
6.5 Appendix 1 197(1)
6.6 Appendix 2 198(2)
6.7 Appendix 3 200(1)
6.8 References 201(2)
7 Exotic Options II 203(36)
Bryan Thomas
7.1 Barrier Options 203(21)
7.1.1 Definitions and Examples of Single Barrier Options 203(3)
7.1.2 An Analytical Model of Single Barrier Options 206(3)
7.1.3 Alternative Modelling Methods 209(2)
7.1.4 Risk Management of Single Barrier Options 211(5)
7.1.5 Barrier Options Combinations 216(6)
7.1.6 Rebates 222(1)
7.1.7 Discontinuous Barriers 223(1)
7.1.8 Double Barrier Options 224(1)
7.1.9 Second Market Barriers 224(1)
7.2 Compound Options 224(10)
7.2.1 Definition and Examples 224(1)
7.2.2 Geske's Model 225(3)
7.2.3 Risk Management 228(1)
7.2.4 Extensions 229(5)
7.3 Lookback Options 234(3)
7.3.1 Definition and Examples 234(1)
7.3.2 An Analytical Model 235(1)
7.3.3 Alternative Models 236(1)
7.3.4 Risk Management 236(1)
7.3.5 Extensions 236(1)
7.4 Even More Exotic Options 237(1)
7.5 References 238(1)
8 Captions and Swaptions 239(22)
Vincent Lacoste
8.1 Change of Numeraire: A General Valuation Method for Swaptions 239(5)
8.1.1 Introductory Comments 239(1)
8.1.2 Technical Properties 240(1)
8.1.3 Application to Swaptions 241(1)
8.1.4 Hedging a Swaption 242(2)
8.2 Hedging Swaptions Against Yield Curve Scenarios 244(6)
8.2.1 The Hedging Space 244(1)
8.2.2 Estimation Methods 245(1)
8.2.3 Empirical Results 246(1)
8.2.4 Concluding Remarks on Historical Data 247(3)
8.3 Marking to Market the Term Structure of Volatility 250(3)
8.3.1 Captions 250(2)
8.3.2 Non-Parametric Estimation of the Volatility Structure 252(1)
8.3.3 Concluding Remarks 253(1)
8.4 Is There a "Market Model of Interest Rates"? 253(3)
8.5 Appendix 256(2)
8.6 Endnotes 258(1)
8.7 References 259(2)
9 Trading Volatility 261(32)
M. Desmond Fitzgerald
9.1 Introduction 261(4)
9.2 Basics of Volatility Trading 265(12)
9.3 Analysing Volatility Patterns for Trading 277(9)
9.4 Relative Volatility Trading 284(6)
9.5 Summary 290(3)
10 Credit Derivatives 293(42)
Blythe Masters
10.1 Background and Overview: The Case for Credit Derivatives 293(3)
10.1.1 What are Credit Derivatives? 293(1)
10.1.2 What is the Significance of Credit Derivatives? 294(2)
10.2 Basic Credit Derivative Structures and Applications 296(9)
10.2.1 Credit (Default) Swaps 296(3)
10.2.2 Total (Rate of) Return Swaps 299(2)
10.2.3 Credit Options 301(1)
10.2.4 Downgrade Options 302(1)
10.2.5 Dynamic Credit Swaps 303(1)
10.2.6 Other Credit Derivatives 304(1)
10.3 A Portfolio Approach to Credit Risk Management 305(12)
10.3.1 Why Credit Has Become a Risk-Management Challenge 305(2)
10.3.2 The Need for a Portfolio Approach to Credit Risk 307(1)
10.3.3 The Challenges of Estimating Portfolio Credit Risk 308(2)
10.3.4 Assessing Credit Risk on a Portfolio Basis: Methodology 310(1)
10.3.5 Practical Applications of Portfolio Methodology Using Credit Derivatives 311(6)
10.4 Regulatory Treatment of Credit Derivatives 317(3)
10.5 Balance Sheet Management: Synthetic Securitization 320(1)
10.6 Investment Considerations 321(5)
10.6.1 Filling Gaps in the Credit Spectrum 321(1)
10.6.2 Transcending Asset Class Barriers 322(3)
10.6.3 Recovery Rate 325(1)
10.6.4 Term 325(1)
10.7 Common Pricing Considerations 326(4)
10.7.1 Predictive or Theoretical Pricing Models of Credit Swaps 326(1)
10.7.2 Mark to Market and Valuation Methodologies for Credit Swaps 327(1)
10.7.3 Risk Equivalence of Total Return Swaps and Credit Swaps for Valuation Purposes 327(1)
10.7.4 Relative Value Analysis of Credit Swaps 328(1)
10.7.5 Counterparty Considerations 329(1)
10.8 Conclusion 330(2)
10.8.1 Credit Derivatives and Portfolio Management 330(2)
10.8.2 Other Implications 332(1)
10.9 Glossary 332(2)
10.10 Endnotes/References 334(1)
Index 335
List of Contributors xi(2)
About the Contributors xiii(4)
Preface xvii(2)
Foreword xix
1 Emerging Markets I 1(36)
Michael J. Howell
1.1 Introduction 1(6)
1.2 Growing Countries not Poor Countries 7(5)
1.3 Cross-Border Capital Flows 12(3)
1.4 Markets in Emerging Financial Assets 1.4 Markets in Emerging Financial Assets 15(3)
1.5 The Financial Structure of Emerging Economies 18(2)
1.6 The Future Size of Emerging Stock Markets 20(1)
1.7 The Growing Need for Financial Development 21(3)
1.8 Conclusion 24(2)
1.9 Appendix 1: Selected Data on Emerging Markets 26(4)
1.10 Appendix 2: Valuation Methods 30(4)
1.11 Endnotes 34(1)
1.12 References 35(2)
2 Emerging Markets II 37(44)
Mark Fox
Ian King
2.1 Introduction 37(5)
2.1.1 The Beginnings of Emerging Markets 37(1)
2.1.2 Defining Emerging Markets 38(2)
2.1.3 The Size of Emerging Markets 40(2)
2.2 Do Emerging Markets Constitute a Separate Asset Class? 42(3)
2.3 Non-Performing Loans 45(2)
2.3.1 History 45(1)
2.3.2 The Present Market 46(1)
2.4 Brady Bonds 47(9)
2.4.1 History 47(1)
2.4.2 Structures of Brady Plans 47(2)
2.4.3 The Brady Market 49(1)
2.4.4 Analysing Brady Bonds 50(3)
2.4.5 Evaluating Default Risk 53(1)
2.4.6 Income Guarantees 54(1)
2.4.7 Trading Strategies Exclusive to Brady Bonds 55(1)
2.5 Eurobonds 56(1)
2.5.1 History 56(1)
2.5.2 A Changing Role 56(1)
2.6 The Role of Credit Curves 57(3)
2.6.1 Using Credit Curves 57(1)
2.6.2 Analysing Credit Curves 58(1)
2.6.3 Trading Credit Curve Shapes 59(1)
2.7 Local Markets and Emerging Market Currencies 60(6)
2.7.1 The Role of Local Markets in the Investing Cycle 60(2)
2.7.2 The Character of Local Emerging Debt Markets 62(1)
2.7.3 Russia--A Case Study 63(1)
2.7.4 Strategic Uses for Investing in Local Markets 64(1)
2.7.5 Trading and Managing Local Currency Exposure 65(1)
2.7.6 Trading and Managing Local Interest Rate Exposure 66(1)
2.8 Equities 66(7)
2.8.1 History 67(1)
2.8.2 Analysing Emerging Equity Stocks 68(1)
2.8.3 Trading and Managing Emerging Equity Market Exposure 69(1)
2.8.4 Strategic Uses for Investing in Emerging Equity Markets 70(3)
2.8.5 Benchmarks 73(1)
2.9 Derivatives 73(4)
2.9.1 Options 73(1)
2.9.2 Repurchase Agreements 74(1)
2.9.3 Structured Notes 74(1)
2.9.4 Credit Derivatives 75(1)
2.9.5 Relative Value Trades 76(1)
2.9.6 Equities 76(1)
2.10 Special Considerations in Evaluating Relative Value 77(2)
2.10.1 A Matrix Approach to Regional and Asset Allocation 77(1)
2.10.2 Past Experience 78(1)
2.11 Endnotes 79(2)
3 The Origins of Risk-Neutral Pricing and the Black-Scholes Formula 81(14)
L.C.G. Rogers
3.1 Introduction 81(1)
3.2 Portfolio Choices 82(2)
3.3 Some Notions and Notations from Probability 84(2)
3.4 Optimal Investment 86(3)
3.5 The Binomial Market and the Black-Scholes Formula 89(2)
3.6 Appendix: Two Other Approaches 91(2)
3.7 Endnotes 93(1)
3.8 References 94(1)
4 Equity Derivatives 95(28)
Andrew Street
4.1 Introduction 95(6)
4.1.1 Aims and Scope of this Chapter 95(1)
4.1.2 Classification of Equity Derivatives 96(1)
4.1.3 General Features of Pricing Equity Derivatives 96(5)
4.2 Historical Development 101(4)
4.2.1 Listed Equity Derivatives 101(3)
4.2.2 Unlisted or "Over-the-Counter" Equity Derivatives 104(1)
4.3 The Utility of Equity Derivatives 105(5)
4.3.1 The Evaluation of Risk and Return 106(1)
4.3.2 Tax Efficiency 106(1)
4.3.3 Regulatory Efficiency 107(1)
4.3.4 Leverage 108(1)
4.3.5 Implementation of Specific Investment Views 108(1)
4.3.6 Efficiency and Cost Effectiveness 108(1)
4.3.7 The Utility of Equity Derivatives for Borrowers 109(1)
4.4 The Role of the Investment Bank in the Creation of Equity Derivatives 110(2)
4.4.1 Capital 110(1)
4.4.2 Credit 111(1)
4.4.3 Risk Aggregation 111(1)
4.4.4 Technology 111(1)
4.5 Index Products 112(4)
4.5.1 Exchange Traded Equity Derivatives 112(2)
4.5.2 Over-the-Counter Traded Equity Derivatives 114(1)
4.5.3 Hybrid Equity Derivatives 115(1)
4.6 Single Stocks, Bespoke Index Products 116(1)
4.7 Future Development for Equity Derivatives 117(1)
4.8 Glossary of Terms 118(2)
4.9 References 120(3)
5 Interest Rate Option Models: A Critical Survey 123(52)
Riccardo Rebonato
5.1 Introduction and Outline of the Chapter 123(2)
5.2 Yield Curve Models: A Statistical Motivation 125(3)
5.2.1 Statistical Analysis of the Evolution of Rates 125(2)
5.2.2 A Framework for Option Pricing 127(1)
5.3 The No-Arbitrage Conditions 128(7)
5.3.1 Definition of No-arbitrage in a Complete Market 128(1)
5.3.2 The Condition of No-arbitrage: Vasicek's Approach 129(1)
5.3.3 The Condition of No-arbitrage: The Martingale Approach 130(2)
5.3.4 First Choice of Numeraire: The Money Market Account 132(1)
5.3.5 Second Choice of Numeraire: A Discount Bond 133(1)
5.3.6 The General Link Between Different Measures 134(1)
5.4 The Implementation Tools 135(9)
5.4.1 Lattice Approaches: Justification and Implementation 135(4)
5.4.2 Monte Carlo (MC) Approaches 139(3)
5.4.3 PDE Approaches: Finite Differences Schemes and Analytic Solutions 142(2)
5.5 Analysis of Specific Models 144(25)
5.5.1 BDT: Model Implications and Empirical Findings 144(6)
5.5.2 Extended Vasicek (HW): Model Implications and Empirical Findings 150(7)
5.5.3 Longstaff and Schwartz: Model Implications and Empirical Findings 157(9)
5.5.4 The HJM Approach 166(3)
5.6 Conclusions or "How to Choose the Best Model" 169(3)
5.7 References 172(3)
6 Exotic Options I 175(28)
Edmond Levy
6.1 Introduction 175(1)
6.2 Asian Options 176(9)
6.2.1 Definition and Uses 176(4)
6.2.2 Valuation Approaches 180(3)
6.2.3 Risk Management of Asian Options 183(2)
6.3 Binary and Contingent Premium Options 185(5)
6.3.1 Examples and Uses 187(1)
6.3.2 Valuation and Hedging 187(3)
6.4 Currency Protected Options 190(7)
6.4.1 Cross-Market Contracts 190(2)
6.4.2 Valuation of Cross-Market Contracts 192(2)
6.4.3 Currency Basket Options 194(3)
6.5 Appendix 1 197(1)
6.6 Appendix 2 198(2)
6.7 Appendix 3 200(1)
6.8 References 201(2)
7 Exotic Options II 203(36)
Bryan Thomas
7.1 Barrier Options 203(21)
7.1.1 Definitions and Examples of Single Barrier Options 203(3)
7.1.2 An Analytical Model of Single Barrier Options 206(3)
7.1.3 Alternative Modelling Methods 209(2)
7.1.4 Risk Management of Single Barrier Options 211(5)
7.1.5 Barrier Options Combinations 216(6)
7.1.6 Rebates 222(1)
7.1.7 Discontinuous Barriers 223(1)
7.1.8 Double Barrier Options 224(1)
7.1.9 Second Market Barriers 224(1)
7.2 Compound Options 224(10)
7.2.1 Definition and Examples 224(1)
7.2.2 Geske's Model 225(3)
7.2.3 Risk Management 228(1)
7.2.4 Extensions 229(5)
7.3 Lookback Options 234(3)
7.3.1 Definition and Examples 234(1)
7.3.2 An Analytical Model 235(1)
7.3.3 Alternative Models 236(1)
7.3.4 Risk Management 236(1)
7.3.5 Extensions 236(1)
7.4 Even More Exotic Options 237(1)
7.5 References 238(1)
8 Captions and Swaptions 239(22)
Vincent Lacoste
8.1 Change of Numeraire: A General Valuation Method for Swaptions 239(5)
8.1.1 Introductory Comments 239(1)
8.1.2 Technical Properties 240(1)
8.1.3 Application to Swaptions 241(1)
8.1.4 Hedging a Swaption 242(2)
8.2 Hedging Swaptions Against Yield Curve Scenarios 244(6)
8.2.1 The Hedging Space 244(1)
8.2.2 Estimation Methods 245(1)
8.2.3 Empirical Results 246(1)
8.2.4 Concluding Remarks on Historical Data 247(3)
8.3 Marking to Market the Term Structure of Volatility 250(3)
8.3.1 Captions 250(2)
8.3.2 Non-Parametric Estimation of the Volatility Structure 252(1)
8.3.3 Concluding Remarks 253(1)
8.4 Is There a "Market Model of Interest Rates"? 253(3)
8.5 Appendix 256(2)
8.6 Endnotes 258(1)
8.7 References 259(2)
9 Trading Volatility 261(32)
M. Desmond Fitzgerald
9.1 Introduction 261(4)
9.2 Basics of Volatility Trading 265(12)
9.3 Analysing Volatility Patterns for Trading 277(9)
9.4 Relative Volatility Trading 284(6)
9.5 Summary 290(3)
10 Credit Derivatives 293(42)
Blythe Masters
10.1 Background and Overview: The Case for Credit Derivatives 293(3)
10.1.1 What are Credit Derivatives? 293(1)
10.1.2 What is the Significance of Credit Derivatives? 294(2)
10.2 Basic Credit Derivative Structures and Applications 296(9)
10.2.1 Credit (Default) Swaps 296(3)
10.2.2 Total (Rate of) Return Swaps 299(2)
10.2.3 Credit Options 301(1)
10.2.4 Downgrade Options 302(1)
10.2.5 Dynamic Credit Swaps 303(1)
10.2.6 Other Credit Derivatives 304(1)
10.3 A Portfolio Approach to Credit Risk Management 305(12)
10.3.1 Why Credit Has Become a Risk-Management Challenge 305(2)
10.3.2 The Need for a Portfolio Approach to Credit Risk 307(1)
10.3.3 The Challenges of Estimating Portfolio Credit Risk 308(2)
10.3.4 Assessing Credit Risk on a Portfolio Basis: Methodology 310(1)
10.3.5 Practical Applications of Portfolio Methodology Using Credit Derivatives 311(6)
10.4 Regulatory Treatment of Credit Derivatives 317(3)
10.5 Balance Sheet Management: Synthetic Securitization 320(1)
10.6 Investment Considerations 321(5)
10.6.1 Filling Gaps in the Credit Spectrum 321(1)
10.6.2 Transcending Asset Class Barriers 322(3)
10.6.3 Recovery Rate 325(1)
10.6.4 Term 325(1)
10.7 Common Pricing Considerations 326(4)
10.7.1 Predictive or Theoretical Pricing Models of Credit Swaps 326(1)
10.7.2 Mark to Market and Valuation Methodologies for Credit Swaps 327(1)
10.7.3 Risk Equivalence of Total Return Swaps and Credit Swaps for Valuation Purposes 327(1)
10.7.4 Relative Value Analysis of Credit Swaps 328(1)
10.7.5 Counterparty Considerations 329(1)
10.8 Conclusion 330(2)
10.8.1 Credit Derivatives and Portfolio Management 330(2)
10.8.2 Other Implications 332(1)
10.9 Glossary 332(2)
10.10 Endnotes/References 334(1)
Index 335
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