An Introduction to Credit Derivatives
- Moorad Choudhry, Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.
Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance.
- Published: December 2012
- Imprint: BUTTERWORTH HEINEMANN
- ISBN: 978-0-08-098295-3
Table of Contents
1. Credit Risk
2. Credit Derivative Instruments: Part I
3. Credit Derivative Instruments: Part II
4. Credit Derivative Instruments: Part III
5. Credit Derivatives Pricing and Valuation
6. Credit Default Swap Pricing
7. The Asset Swap-Credit Default Swap Basis