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

ISBN: 978-0-470-82159-6
850 pages
May 2005
Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition (0470821590) cover image
The Third Edition of Credit Derivatives 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 editions 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, Satyajit Das.

Key areas of new and enhanced coverage include:

  • Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations).
  • 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, and many more.
  • Increased coverage of credit linked notes including repackaging structures.
  • Detailed discussion of the collateralized debt obligations ( CDO ) market, including CDO structures, pricing and valuation, rating methodology, CDO variations, single tranche CDOs, hedging of CDO tranches, 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.
  • 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.
  • Updated discussion of market structures, developments and prospects.

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Credit Derivative Products

Structured Credit Products

3 Credit Linked Notes

Collateralised Debt Obligations

Credit Derivatives Pricing and Valuation

Credit Modelling/Credit Portfolio Management

Credit Derivative Applications

Credit Derivative Markets

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Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition (US $170.00)

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