クレジットデリバティブ・ハンドブック The Credit Derivatives Handbook : Global Perspectives, Innovations, and Market Drivers

Gregoriou, Greg N. (EDT)/ Ali, Paul U. (EDT)

McGraw-Hill（2008/07発売）

• 製本 Hardcover:ハードカバー版／ページ数 406 p.
• 言語 ENG
• 商品コード 9780071549523
• DDC分類 332.6457

Full Description

The world's leading financial thinkers share their insights into the latest developments in credit derivativesIn The Credit Derivatives Handbook, some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds.You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as:Key products, applications, and typical trades, hedging and credit structuringPricing of credit default swaps and synthetic CDOsDesign of synthetic CDOsCopula models, with illustrative examplesCredit derivatives in investment portfoliosOpportunities for structuring credit derivatives in accordance with Islamic financeComprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider "one of the most important financial innovations of recent times."

Contents

Part One1.The Changing Face of Default Swaps2. Islamic Credit derivatives3. Credit Derivatives and the Resolution of Financial Distress4. Asymmetric Information and Opacity in Credit Derivatives MarketsPart Two: Price Credit Default Swaps5. Pricing Credit Derivatives with a Copula-Based Actuarial Model for Credit Risk6. Alternative Implementation methods for CDS Pricing7. A Unified Approach to the Theory of Default Risk & Credit Derivatives8. Investigating Some Link between Credit Default Swap Spreads & US Financial MarketsPart Three: Design & Pricing of CDOs9. On the design of CDOs: Bundling or Separation?10. On the Pricing of CDOs11. Pricing Forward Starting CDOs using Dynamic Copula Processes12. Idiosyncratic and Systematic Risk in the European Corporate Sector13. Default Configuration in large Homogeneous PortfoliosPart Four: Asset Allocation and Credit Derivatives14. Hedge Funds and the Global Market for Credit Derivatives15. An Asset Allocation Problem with Credit Derivatives16. Funds of CDO Tranches: Risk Management and Pricing MethodologiesNER(01): WOW