Understanding Credit Derivatives and Related Instruments, Second Edition

__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.__ * Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors * Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment * Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more Content: Front Matter,Copyright,Dedication,Author’s Disclaimer,Preface to the Second EditionEntitled to full textPart I: Credit Derivatives: Definition, Market, UsesChapter 1 - Credit Derivatives: A Brief Overview, Pages 3-15 Chapter 2 - The Credit Derivatives Market, Pages 17-28 Chapter 3 - Main Uses of Credit Derivatives, Pages 29-39 Chapter 4 - Floating-Rate Notes, Pages 43-53 Chapter 5 - Asset Swaps, Pages 55-66 Chapter 6 - Credit Default Swaps, Pages 67-83 Chapter 7 - Total Return Swaps, Pages 85-91 Chapter 8 - Spread and Bond Options, Pages 93-98 Chapter 9 - Basket Default Swaps, Pages 99-105 Chapter 10 - Portfolio Default Swaps, Pages 107-115 Chapter 11 - Principal-Protected Structures, Pages 117-121 Chapter 12 - Credit-Linked Notes, Pages 123-126 Chapter 13 - Repackaging Vehicles, Pages 127-131 Chapter 14 - Synthetic CDOs, Pages 133-141 Chapter 15 - CDS Indexes, Pages 143-149 Chapter 16 - CDS on Commercial Mortgages and Subprime Residential Mortgages, Pages 151-156 Chapter 17 - Valuing Defaultable Bonds, Pages 159-169 Chapter 18 - The Credit Curve, Pages 171-186 Chapter 19 - Main Credit Modeling Approaches, Pages 187-217 Chapter 20 - Valuing Credit Options, Pages 219-225 Chapter 21 - The Basics of Portfolio Credit Risk, Pages 229-251 Chapter 22 - Valuing Basket Default Swaps, Pages 253-262 Chapter 23 - Valuing Portfolio Swaps and CDOs, Pages 263-274 Chapter 24 - A Quick Tour of Commercial Models, Pages 275-279 Chapter 25 - Modeling Counterparty Credit Risk, Pages 281-294 Chapter 26 - Anatomy of a CDS Transaction, Pages 297-310 Chapter 27 - A Primer on Regulatory Issues, Pages 311-317 Chapter 28 - Measuring the Risks Embedded in a CDS Position, Pages 321-338 Chapter 29 - Portfolio-Level Risks and Basic CDS Hedging, Pages 339-351 Chapter 30 - Trading the CDS Curve, Pages 353-370 Appendix A - Basic Concepts from Bond Math, Pages 371-376 Appendix B - Basic Concepts from Statistics, Pages 377-386 Bibliography, Pages 387-390 Index, Pages 391-399 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.Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more Antulio N. Bomfim Senior Managing Director and Co-Head of Monetary Policy Insights at Macroeconomic Advisers, LLC. He received his M.A. and Ph.D. in Economics at the University of Maryland and his M.Sc.in Mathematical Finance at the University of Oxford

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.

• Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors
• Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment
• Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more

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. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more 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.-- Provided by publisher Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models. * Offers a broad overview of this growing field * Discusses all the main types of credit derivatives * Provides back-of-the-book summary of statistics and fixed-income mathematics Annotation Antulio N. Bomfim offers a comprehensive introduction to the main issues in the credit derivatives market, including an accessible introduction to valuation methods