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Credit Derivatives: Instruments, Applications, and Pricing

ISBN: 978-0-471-46600-0
341 pages
January 2004
Credit Derivatives: Instruments, Applications, and Pricing (047146600X) cover image


An essential guide to credit derivatives
Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products.
Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers.
Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London.
Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
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Table of Contents


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.


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Author Information

MARK J.P. ANSON, PhD, CFA, is the Chief Investment Officer at CalPERS and is a frequent contributor to academic and professional publications on the topics of risk management, derivatives, and portfolio management.

FRANK J. FABOZZI, PhD, CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, a Fellow of the International Center for Finance at Yale University, and Editor of the Journal of Portfolio Management.

MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UK Limited, and a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.

REN-RAW CHEN, PhD, is an Associate Professor of Finance at Rutgers University School of Business (New Brunswick), a frequent contributor to major academic finance journals, and a speaker at many academic conferences.

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