Understanding Credit Derivatives and Related InstrumentsBy
- Antulio Bomfim
- Antulio Bomfim
The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990s to over $2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developments in its various segments, such as the market for single-name credit derivatives or the market for credit derivatives written on sovereign credits.Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.
Graduate Students in MBA and specialized finance programs, professionals working with investment tool such as financial analysts and portfolio managers.
Hardbound, 368 Pages
Published: December 2004
Imprint: Academic Press
"This enjoyable book on credit derivatives will be useful to both students of finance and practitioners. Bomfim does for credit what Hull does for options, futures and other derivatives." --Kay Giesecke, Visiting Assistant Professor, School of Operations Research and Industrial Engineering, Cornell University "Antulio Bomfin's exploration of the pricing and valuation of credit derivatives is extraordinarily accessible and therefore will serve as an essential primer for those unfamiliar with credit derivative markets. At the same time, the depth of discourse in Understanding Credit Derivatives will be appreciated by experts who seek a better grounding in the fundamental principles of this complex market." -- Heidi Mandanis Schooner, Visiting Professor of Law, George Washington University Law School "Comprehensive in coverage, economical in exposition, very accessible, and a pleasure to read - this book covers the gamut of issues in modern credit modeling in a manner that will appeal to practitioners, academics and students." -- Sanjiv Das, Professor of Finance, Santa Clara University "...offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, the book offers intuitive, yet rigorous summaries of the major subjects. Its centerpiece focuses on pricing and valuation issues, especially discussions of different valuation tools and their application to credit models." -- Gunter Dufey, Prof. em., The University of Michigan; Prof. of Banking and Finance, Nanyang Technological University - NBS, Singapore "Understanding Credit Derivatives and Related Instruments" is a most valuable offering in this rapidly expanding area of finance. The book provides an introduction to the credit derivatives market for the uninitiated and then addresses the pricing and valuing of these instruments, as well as describing valuation tools and their use in credit models. The book also provides a most useful description of the documentation of credit derivative transactions under the ISDA forms that govern these transactions." -- Jerry Markham, Professor of Law, Florida International University "...this is an outstanding book. I can't recommend it highly enough." - www.riskbook.com
- 1 Credit Derivatives: A Brief Overview2 The Credit Derivatives Market 3 Main Uses of Credit Derivatives 4 Floating-Rate Notes 5 Asset Swaps 6 Credit Default Swaps 7 Total Return Swaps 8 Spread and Bond Options 9 Basket Default Swaps 10 Portfolio Default Swaps 11 Principal-Protected Structures 12 Credit-Linked Notes 13 Repackaging Vehicles 14 Synthetic CDOs 15 Valuing Defaultable Bonds 16 The Credit Curve 17 Main Credit Modeling Approaches 18 Valuing of Credit Options 19 The Basics of Portfolio Credit Risk 20 Valuing Basket Default Swaps 21 Valuing Portfolio Swaps and CDOs 22 A Quick Tour of Commercial Models 23 Modeling Counterparty Credit Risk 24 Anatomy of a CDS Transaction 25 A Primer on Bank Regulatory Issues Appendix A Basic Concepts from Bond Math Appendix B Basic Concepts from Statistics