Satyajit Das Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition 9780470821596

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Автор: Satyajit Das
Название: Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition
Перевод названия: Производные кредита
ISBN: 9780470821596
Издательство: Wiley
Классификация:

Финансы и отчётность

Финансы

Инвестиции и ценные бумаги

ISBN-10: 0470821590
Обложка/Формат: Hardback
Страницы: 850
Вес: 1.30 кг.
Дата издания: 15.04.2005
Серия: Wiley finance (hardcover)
Язык: English
Издание: 3 rev ed
Иллюстрации: Illustrations
Размер: 232 x 152 x 47
Читательская аудитория: Professional & vocational
Подзаголовок: Cdos and structured credit products
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Англии
Описание: This is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions. Previous edions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author. The First Edition of Credit Derivatives was published in 1998. It was designed to meet the growing interest in complex instruments. An updated Second Edition was released in 2000. Credit Derivatives, CDOs and Structured Credit Products, 3rd Edition offers comprehensive information on credit derivative products (both standard and structured), documentation issues, pricing/valuation approaches, applications and the market. The key areas of new/enhanced coverage include: inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations); and description of developments in structured credit products including: portfolio products; up-front credit default swaps; quanto credit default swaps; credit swaptions; zero recovery credit default swaps; first-to-default swaps/Nth-to-default swaps; asset swaptions/synthetic lending facilities/structured asset swaps; constant maturity credit spread products and constant maturity credit default swaps; credit index products; equity default swaps; increased coverage of credit linked notes including repackaging structures. This book features include: detailed discussion of the collateralised debt obligations (CDO) market including: CDO structures; pricing and valuation; rating methodology; CDO variations (including SME CDOs, structured finance/ ABS CDOs, collateralised fund obligations (CFOs); single tranche CDOs; hedging of CDO tranches (including credit deltas and other Greeks and default correlation risk); behavior of CDO tranche (equity, mezzanine, senior and super senior) investments; increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior. It also features: coverage of E2C (equity to credit) hedging; detailed examples of applications of credit derivatives by different market participants; discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades; updated coverage of regulatory framework for credit derivatives; and an updated discussion of market structures, developments and prospects.
Дополнительное описание: Кол-во стр.: 850
Формат: 239 x 166
Дата издания: 2005
Вес: 1306

Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition, Satyajit Das