An Introduction to Credit Derivatives

2nd Edition

Authors: Moorad Choudhry
Hardcover ISBN: 9780080982953
eBook ISBN: 9780080982984
Imprint: Butterworth-Heinemann
Published Date: 22nd December 2012
Page Count: 158
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Description

The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision.

Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance.

Key Features

  • A post-crisis guide to a powerful bank risk management product, its history and its use
  • Liberal use of Bloomberg screens and new worked examples increase hands-on practicality
  • New online set of CDS pricing models and other worksheets multiply the book's uses

Readership

Graduate-level finance students who seek an introduction to derivatives.  Typical courses include portfolio theory and financial engineering.  Professionals comprise a second audience.

Table of Contents

1. Credit Risk

2. Credit Derivative Instruments: Part I

3. Credit Derivative Instruments: Part II

4. Credit Derivative Instruments: Part III

5. Credit Derivatives Pricing and Valuation

6. Credit Default Swap Pricing

7. The Asset Swap-Credit Default Swap Basis

Details

No. of pages:
158
Language:
English
Copyright:
© Butterworth-Heinemann 2013
Published:
Imprint:
Butterworth-Heinemann
eBook ISBN:
9780080982984
Hardcover ISBN:
9780080982953

About the Author

Moorad Choudhry

Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at KBC Financial Products, ABN Amro Hoare Govett Limited and Hambros Bank Limited. He has a PhD from Birkbeck, University of London and an MBA from Henley Business School. Moorad lives in Surrey, England.

Affiliations and Expertise

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

Reviews

"An excellent, high-quality account of one of the most important areas of the debt capital and corporate credit markets today."--Didier Joannas, 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.