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 Credit Derivatives: Instruments, Applications, and Pricing
ISBN: 978-0-471-46600-0
Hardcover
341 pages
January 2004
US $89.95
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Preface.
About the Authors.
Chapter 1. Introduction.
Chapter 2. Types of Credit Risk.
Chapter 3. Credit Default Swaps.
Chapter 4. Asset Swaps and the Credit Default Swap Basis.
Chapter 5. Total Return Swaps.
Chapter 6. Credit-Linked Notes.
Chapter 7. Synthetic Collateralized Debt Obligation Structures.
Chapter 8. Credit Risk Modeling: Structural Models.
Chapter 9. Credit Risk Modeling: Reduced Form Models.
Chapter 10. Pricing of Credit Default Swaps.
Chapter 11. Options and Forwards on Credit-Related Spread Products.
Chapter 12. Accounting for Credit Derivatives.
Chapter 13. Taxation of Credit Derivatives.
Index.
