Understanding Credit Derivatives and Related Instruments book cover

Understanding Credit Derivatives and Related Instruments

Understanding Credit Derivatives and Related Instruments, Second Edition, is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, it offers summaries of major subjects and the principal perspectives associated with them.

The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and up-front payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics.

Every reader familiar with mid-level mathematics and who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with Understanding Credit Derivatives and Related Instruments.


Practitioners seeking a broad understanding of credit derivatives as well as graduate students and advanced undergraduates worldwide looking for an accessible introduction to credit derivative instruments and the techniques used to value and trade them.

Hardbound, 416 Pages

Published: August 2015

Imprint: Academic Press

ISBN: 978-0-12-800116-5


  • I - Definitions, Market, Uses1 Credit Derivatives: A Brief Overview2 The Credit Derivatives Market3 Main Uses of Credit DerivativesII - Main Types of Credit Derivatives4 Floating-Rate Notes5 Asset Swaps6 Credit Default Swaps7 Total Return Swaps8 Spread and Bond Options9 Basket Default Swaps 10 Portfolio Default Swaps11 Principal-Protected Structures12 Credit-Linked Notes13 Repackaging Vehicles14 Synthetic CDOs15 CDX Family of Indexes16 CDS Technology Applied to Other Asset Classes CMBX, ABXIII - Introduction to Credit Modeling I: Single Name Defaults17 Valuing Defaultable Bonds18 The Credit Curve19 Main Credit Modeling Approaches20 Valuing Credit OptionsIV: Introduction to Credit Modeling II: Portfolio Credit Risk21 The Basics of Portfolio Credit Risk22 Valuing Basket Default Swaps23 Valuing Portfolio Swaps and CDOs24 A Quick Tour of Commercial Models25 Modeling Counterparty Credit RiskV - A Brief Overview of Documentation and Regulatory Issues26 Anatomy of a CDS Transaction27 A Primer on Bank Regulatory IssuesVI Theory Meets the Real World 28 Hedging a CDS Position29 An Overview of Common Trading Strategies30 The Subprime Mortgage and European Sovereign Debt Crises


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