Credit Derivatives: Trading, Investing, and Risk Management

光盘

作者：  Geoff Chaplin

出版社：JOHNWILEY & SONSINC 2010

简介：The credit derivatives industry has come under close scrutiny over the past 2 years, with the Credit Crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, from traders, structurers, quants and investors. This book covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides: A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring Analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management A thorough analysis of counterparty risk An intuitive understanding of credit correlation in reality and in the Copula model The book has been thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It will contain 50% new material, which will include copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and the mathematics of the credit bubble. The book is accompanied by a CD ROM which will illustrate the models used in the book and also provide an advanced valuation toolkit. Contents Foreword] Preface Disclaimer Acknowledgements Part I: Credit Background and Credit Derivatives 1. Credit Debt and other traditional credit instruments 2. Pricing Methods 3. Default and Recovery Data; Transition Matrices; Historical Pricing 4.The Credit Event for Debt 5. Asset Swaps and Asset Swap Spread; z-spread 6. Liquidity 7. Credit portfolios and portfolio risk Software examples: Transition matrix based pricing; historical and implied transition matrices Asset swap, z-spread, maturity spread calculations Portfolio correlation and VaR Part II: Credit Default Swaps and other Single Name Products 8. Credit Default Swaps: Product Description, and Simple Applications - 9. Valuation and Risk: Basic Concepts - 10. CDS Deal Examples 11. CDS/Bond Basis Trading 12. Sensitivities; Hedging Issues 13. Credit Linked Notes 14. Digital CDS 15. Basket CDS and Index CDS structures 16. Spread Options, Callable/Putable Bonds, Callable Asset Swaps, Callable Default Swaps 17. Total Return Swaps 18. Single Name Book management 19. CDS Pricing by Simulation Software examples: Deterministic model Excel and MathCad] Debt valuation Excel and MathCad] CDS valuation Excel and MathCad] Sensitivity calculation examples Excel and MathCad] Part III: Portfolio Products - Correlated stochastic recovery models, Semi-closed form solutions, Structure pricing Correlation in structures. CDOs and structured credit products - synthetic - static and standard index products - synthetic - bespoke, static and managed - cashflow CDOs - securitisations - rating (update), SPV, applications - product risks (bubble related to enhanced sales opportunities) - pricing at 0 and 100% correl - other portfolio products (contributed) Copula valuation and hedging (method) Correlation - in the real world and further section on correlation in normal and abnormal environments - e.g. correlation of life policy values. - matrix and tag - factor/tranche/compound - base - correlated stochastic recovery - Monte Carlo pricing - Semi closed form pricing Application of Copula valuation - Synthetics: 21.6 to 21.8 rewritten - Cashflow CDO - Structures Portfolio Optimisation (contributed) Other Copulae Portfolio Products and Correlation Risk management Pricing methodologies in illiquid environments Part IV: Default Swaps including Counterparty Risk - CDS as a portfolio product Vanilla CDS Counterparty ("Double trigger") CDS Part V: - NEW The Evolution of Credit Management Systems The Credit Meltdown and rebirth of CDS The Mathematics of the Bubble Mathematical Appendix: List of Abbreviations Glossary References Index