Understanding Credit Derivatives and Related Instruments


  • Antulio Bomfim, Macroeconomic Advisers, LLC, Washington, DC, USA

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, the book 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 upfront 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 who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book.

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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.


Book information

  • Published: December 2015
  • ISBN: 978-0-12-800116-5