An Introduction to Credit Derivatives

By

  • Moorad Choudhry, Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.
  • Moorad Choudhry, Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.

In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and economic capital. This book is an accessible introduction to the various types of credit derivative instruments traded in the markets today. All products are described with the help of worked examples and Bloomberg screens, and the reader will be left with a thorough familiarity with the nature of credit risk and credit products generally. Topics covered include:* Credit risk* Unfunded credit derivatives* Funded credit derivatives* Credit default swap pricing* The asset-swap credit default swap basis
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Book information

  • Published: June 2004
  • Imprint: BUTTERWORTH HEINEMANN
  • ISBN: 978-0-7506-6262-8

Reviews

An excellent, high-quality account of one of the most important areas of the debt capital and corporate credit markets today. -- Dr Didier Joannas, Regional Sales Director, SunGard, Hong Kong The rapid growth of the credit derivatives markets has been accompanied by similar output in the related literature. For clarity, accessibility, relevance and detail, this is easily the best addition to this literature. -- Abukar Ali, Bloomberg L.P.



Table of Contents

Credit risk; Credit Derivatives I; Credit Derivatives II; Credit Derivatives III: basic applications; Pricing; CDS pricing; The CDS-ASW basis.