Credit Derivates Instruments Applications & Pricing by Mark J.P.Anson, Frank J.Fabozzi

Credit Derivates Instruments Applications & Pricing by Mark J.P.Anson, Frank J.Fabozzi

Description

An essential guide to credit derivatives.
Credit derivatives have become one of the fastest growing areas of interest in global derivatives and risk management. Credit derivatives lead the reader to a detailed explanation of an investment tool that has been increasingly used to manage credit risk in the banking and capital markets. Anson looks at everything from the basics of why credit risk is important to the accounting and tax implications of credit derivatives. Key topics covered in this essential guide include: credit swaps; term credits; notes linked to credit; and credit derivative pricing models. Anson also discusses the implications of credit risk management, as well as the regulation of credit derivatives. Using charts, examples, basic investment theory, and elementary mathematics, credit derivatives illustrate the real-world practice and applications of credit derivative products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers.
Frank J. Fabozzi (New Hope, PA) is a member of the Yale University International Finance Center.
Moorad Choudhry (Surrey, UK) is Vice President of Structured Finance Services at JP Morgan Chase Bank in London.
Ren-Raw Chen is an assistant and associate professor at Rutgers University School of Management.

Table of Contents

Preface.

About the authors.

Chapter 1 Introduction.

Chapter 2. Types of credit risk.

Chapter 3. Credit default swaps.

Chapter 4. Asset swaps and the credit default swap base.

Chapter 5. Total return swaps.

Chapter 6. Notes linked to credit.

Chapter 7. Synthetic Collateralized Debt Obligation Structures.

Chapter 8. Credit risk modeling: structural models.

Chapter 9. Credit risk modeling: reduced form models.

Chapter 10. Credit default swaps prices.

Chapter 11. Credit Related Margin Product Options and Forwardings.

Chapter 12. Accounting for credit derivatives.

Chapter 13. Taxation of credit derivatives.

Index.

Author information

MARK J.P. ANSON, PhD, CFA, is the Chief Investment Officer at CalPERS and is a frequent contributor to academic and professional publications on risk management, derivatives and portfolio management issues.

FRANK J. FABOZZI, PhD, CFA, is an Associate Professor of Finance at Frederick Frank at the Yale University School of Management, a member of the Yale University International Finance Center and editor of the Journal of Portfolio Management.

MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UK Limited, and a member of the Center for Commerce and Mathematical Finance, CASS Business School.

REN-RAW CHEN, PhD, is an associate professor of finance at Rutgers University (New Brunswick) School of Business, a frequent contributor to leading academic finance journals and a speaker at many academic conferences.

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