Understanding Credit Derivatives

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <div align="left"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table2"> <tr> <td width="780" align="center"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table3"> <tr> <td align="right" height="198" width="1%"> <p align="left"> <img border="0" src="../images/book_bomfim_antulio_(2005).gif" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table4"> <tr> <td colspan="3" width="0%"> <p class="book_title">Understanding Credit Derivatives<br> <font size="3">and Related Instruments</font></td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap5"> <area href="../main/ratings.htm" shape="rect" coords="76, 0, 165, 33"> </map> <img border="0" src="../images_title/bomfim20.gif" usemap="#FPMap5" width="185" height="158"></td> <td class="book_details" height="112" align="center" width="50%" rowspan="7"> <p align="center"><map name="FPMap4"> <area target="_top" href="../link_topic/best_of_2005.htm" shape="rect" coords="0, 0, 124, 108"> </map> <img border="0" src="../images/best_of_award_2005.gif" usemap="#FPMap4" width="125" height="109"></td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table5"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table6"> <tr> <td width="50%" valign="top"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table7"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="5" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table8"> <tr> <td class="contents_expanded"> <p class="contents_compressed" style="margin-top: 10; margin-bottom: 8"> 1. Credit derivatives: a brief overview<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 2. The credit derivatives market <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 3. Main uses of credit derivatives<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 4. Floating-rate notes<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 5. Asset swaps<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 6. Credit default swaps<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 7. Total return swaps<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 8. Spread and bond options<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 9. Basket default swaps<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 10. Portfolio default swaps<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 11. Principal-protected structures<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 12. Credit-linked notes<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 13. Repackaging vehicles<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 14. Synthetic CDOs<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 15. Valuing defaultable bonds<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 16. The credit curve<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 17. Main credit modeling approaches<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 18. Valuing credit options<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 19. The basics of portfolio credit risk <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 20. Valuing basket default swaps<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 21. Valuing portfolio swaps and CDOs<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 22. A quick tour of commercial models<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 23. Modeling counterparty credit risk<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 24. Anatomy of a CDS transaction<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> 25. A primer on bank regulatory issues<p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"> App. A Basic concepts from bond math<p class="contents_compressed" style="margin-top: 8; margin-bottom: 12"> App. B Basic concepts from statistics </td> </tr> </table> </td> </tr> </table> </td> <td width="50%" valign="top" class="body"> <p align="left" class="body" style="margin-bottom: 10"><strong style="font-weight: 400">There are plenty of introductions to credit derivatives and related structured products. This is the one to read. It covers the products, the market, applications, pricing and risk measurement. The writing is excellent, and the organization of topics is logical and flows naturally. The author blends an academic's precision with a practitioner's insights. </strong></p> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="125" align="left" id="table9"> <tr> <td width="120"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="5"> </td> </tr> </table> <p align="left" class="body" style="margin-top: 10; margin-bottom: 10">The book is really comprehensive. For example, the author provides a detailed introduction to floating rate notes. These aren't credit derivatives, but as the author points out, they play an important role in pricing and even hedging credit derivatives. The fact that he takes the time to cover them is a nice touch that really adds to the overall treatment. </p> <p align="left" class="body" style="margin-top: 10; margin-bottom: 10">Discussions of pricing are sophisticated. They assume some familiarity with financial engineering but will be accessible to most quantitative professionals. The treatment of structural and reduced form models is as good as discussions in books dedicated to those topics. The author also briefly discusses commercial vendors who have implemented those models. </p> <p align="left" class="body" style="margin-top: 10; margin-bottom: 10">Overall, this is an outstanding book. I can't recommend it highly enough.<strong> [10/27/05]</strong></p> <p align="center" class="body"> </p> </td> </tr> </table> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table10"> <tr> <td width="50%" bgcolor="#FFFFCC" align="center"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" bgcolor="#FFFFCC" id="table11"> <tr> <td> <p class="body" style="margin-bottom: 5; margin-left:10; margin-right:5; margin-top:5"><b><font color="#333366" size="3">For related books, see sections:</font></b></p> <p class="bullet" style="margin-left: 10; margin-top: 5; margin-bottom: 5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_credit_derivatives.htm">Markets - Credit Derivatives</a></p> <p class="bullet" style="margin-left: 10; margin-top: 5; margin-bottom: 5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_MBS_ABS.htm">Markets - MBS, ABS</a></p> <p class="bullet" style="margin-left: 10; margin-top: 5; margin-bottom: 5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_credit_institutional.htm">Risk Management - Credit Risk</a></p> <p class="bullet" style="margin-left: 10; margin-top: 5; margin-bottom: 5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/financial_engineering_credit_risk.htm">Financial Engineering - Pricing Credit Risk</a></td> </tr> </table> </td> <td width="50%" bgcolor="#CCCCFF" align="center" valign="top"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </td> <td>  </td> </tr> </table> </div>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>