The Third Edition of Credit Derivatives is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions. Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format -- all chapters have been written by the author, Satyajit Das. Key areas of new and enhanced coverage include: * Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations).* Description of developments in structured credit products, including portfolio products, up-front credit default swaps, quanto credit default swaps, credit swaptions, zero recovery credit default swaps, first-to-default swaps/ Nth to-default swaps, and many more.* Increased coverage of credit linked notes including repackaging structures.*
Detailed discussion of the collateralized debt obligations ( CDO ) market, including CDO structures, pricing and valuation, rating methodology, CDO variations, single tranche CDOs, hedging of CDO tranches, behavior of CDO tranche (equity, mezzanine, senior and super senior) investments.* Increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior.* Coverage of E2C (equity to credit) hedging.* Detailed examples of applications of credit derivatives by different market participants.* Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades.* Updated coverage of regulatory framework for credit derivatives.* Updated discussion of market structures, developments and prospects. Order your copy of this comprehensive work today.
- ISBN10 0470821590
- ISBN13 9780470821596
- Publish Date 15 April 2005
- Publish Status Out of Print
- Out of Print 4 March 2021
- Publish Country GB
- Publisher John Wiley and Sons Ltd
- Imprint John Wiley & Sons Ltd
- Edition 3rd Edition
- Format Hardcover
- Pages 816
- Language English