Table Of Contents
Foreword.
Preface.
Acknowledgements.
About the Author.
PART I: CREDIT RISK AND CREDIT DERVIATIVE INSTRUMENTS.
Chapter 1. Credit Risk.
Chapter 2. Credit Derivatives: Unfunded Instruments.
Chapter 3. Credit Derivatives: Funded Instruments.
Chapter 4. Credit Derivatives: Basic Applications.
Chapter 5. Credit Derviatives: Pricing and Valuation.
Chapter 6. Credit Default Swap Pricing.
Chapter 7. The Asset Swap— Credit Default Swap Basic I.
Chapter 8. The Credit Default Swap Basis II: Analyzing the Relationship between Cash and Synthetic Markets.
PART II: STRUCTURED CREDIT PRODUCTS AND SYNTHETIC SECURITISATION.
Chapter 9. An Introduction to Securitisation.
Chapter 10. Synthetic Collateralised Debt Obligations.
Chapter 11. Integrating Cash and Synthetic Markets: Multi-SPV Credit Hybrid CDO Structure.
Chapter 12. Synthetic CDOS: Risk and Return.
Chapter 13. Basic Principles in CDO Valuation and Cashflow Waterfall Models.
Chapter14. Synthetic Mortgage-backed Securities.
Chapter 15. Synthetic Conduit and Repackaged Transactions.
Glossary.
Index.
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Keywords
banks
credit derivatives
derivatives
financial industry
financial instruments
investors
risk management
structured credit
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