John Wiley and Sons, Inc. Hoboken, New Jersey 2004
ISBN: 0-471-46600-X
The credit derivative market has grown from a few customized trades in the early 1990s to a large, organized market that trades billions of dollars each year. This market has expanded to reflect the growing demand from asset managers, corporations, insurance companies, fixed income trading desks, and other credit-sensitive users to buy and sell credit exposure.
In this book we provide a comprehensive examination of the credit derivatives market. As the title of the book indicates, we cover the practical applications of credit derivatives as well as the most current pricing models applied by asset managers and traders. We also discuss investment strategies that may be applied using these tools.
Our soup to nuts approach begins with an overview of credit risk.
In many cases, credit is the predominant, if not overwhelming, economic exposure associated with a note, bond, or other fixed-income instrument. We discuss the nature of credit risk, discuss its economic impact, and provide graphical descriptions of its properties.
We next discuss some of the basic building blocks in the credit derivative market: credit default swaps, asset swaps, and total retu swaps. These chapters are descriptive in nature to introduce the reader to the credit derivatives market
ISBN: 0-471-46600-X
The credit derivative market has grown from a few customized trades in the early 1990s to a large, organized market that trades billions of dollars each year. This market has expanded to reflect the growing demand from asset managers, corporations, insurance companies, fixed income trading desks, and other credit-sensitive users to buy and sell credit exposure.
In this book we provide a comprehensive examination of the credit derivatives market. As the title of the book indicates, we cover the practical applications of credit derivatives as well as the most current pricing models applied by asset managers and traders. We also discuss investment strategies that may be applied using these tools.
Our soup to nuts approach begins with an overview of credit risk.
In many cases, credit is the predominant, if not overwhelming, economic exposure associated with a note, bond, or other fixed-income instrument. We discuss the nature of credit risk, discuss its economic impact, and provide graphical descriptions of its properties.
We next discuss some of the basic building blocks in the credit derivative market: credit default swaps, asset swaps, and total retu swaps. These chapters are descriptive in nature to introduce the reader to the credit derivatives market