Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition
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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 Derivatives: CDOs and Structured Credit Products, 3rd Edition (US $160.00)
-and- Securitization: The Financial Instrument of the Future (US $200.00)
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