Understanding Credit Derivatives and Related Instruments book cover

Understanding Credit Derivatives and Related Instruments

This intuitive, rigorous overview links the practices 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. Its 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 crisis, including standardized premiums and up-front payments. The analyses of regulatory responses to the crisis (Basel III, Dodd Frank, etc) for the credit derivatives market include all the necessary statistical and mathematical background for readers to easily follow the pricing parts. Every reader who is familiar with mid-level mathematics and who wants to understand the functioning of the derivatives markets (both on the practice and academic side) 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, Uses

    1 Credit Derivatives: A Brief Overview

    2 The Credit Derivatives Market

    3 Main Uses of Credit Derivatives

    II - Main Types 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 CDX Family of Indexes

    16 CDS Technology Applied to Other Asset Classes CMBX, ABX

    III - Introduction to Credit Modeling I: Single Name Defaults

    17 Valuing Defaultable Bonds

    18 The Credit Curve

    19 Main Credit Modeling Approaches

    20 Valuing Credit Options

    IV: Introduction to Credit Modeling II: Portfolio Credit Risk

    21 The Basics of Portfolio Credit Risk

    22 Valuing Basket Default Swaps

    23 Valuing Portfolio Swaps and CDOs

    24 A Quick Tour of Commercial Models

    25 Modeling Counterparty Credit Risk

    V - A Brief Overview of Documentation and Regulatory Issues

    26 Anatomy of a CDS Transaction

    27 A Primer on Bank Regulatory Issues

    VI Theory Meets the Real World

    28 Hedging a CDS Position

    29 An Overview of Common Trading Strategies

    30 The Subprime Mortgage and European Sovereign Debt Crises


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