Credit Default Swap

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The Credit Default Swap Basis

Author : Moorad Choudhry
Publisher : Bloomberg Press
ISBN 13 : 9780470915837
Total Pages : 0 pages
Book Rating : 4.9/5 (158 download)

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Book Synopsis The Credit Default Swap Basis by : Moorad Choudhry

Download or read book The Credit Default Swap Basis written by Moorad Choudhry and published by Bloomberg Press. This book was released on 2027-06-22 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date resource on the intricacies of the credit default swap basis While credit default swaps and credit derivatives are of great concern to many in the field of finance, the Second Edition of The Credit Default Swap Basis does not directly focus on these issues. It is instead about an aspect of CDS behavior, the basis, which is of importance to all users of CDS products. An understanding of the basis is essential to anyone involved in the credit-risky debt capital markets, whether you're an investor, trader, or broker. The credit default swap basis (the basis) defines the relationship between the cash and synthetic credit markets. Finance professionals need to understand the drivers of the basis in order to better undertake investment and value analysis, and for trading purposes. In this updated Second Edition, author Moorad Choudhry, a market practitioner who has published widely in the field of credit derivatives, explores this dynamic discipline and examines the structural changes in the CDS market, including new settlement mechanisms and contract standardization. Along the way, he describes how basis pricing has changed in the aftermath of the financial crisis and what that change means in regard to overall market and trading opportunities. The only book on basis issues of credit default swaps, it provides practitioners with vital information on valuation, credit risk assessment, and basis trading strategies Addresses structural changes to the market, including the introduction of central clearing houses in the U.S. and Europe and standardization of contracts to reduce disputes about payout settlements Covers the close relationship between the synthetic and cash markets in credit, which manifests itself in the credit default swap basis The Credit Default Swap Basis, Second Edition offers invaluable market insights to all financial professionals seeking a deeper understanding of credit derivatives and fixed income securities.

Credit Default Swaps

Author : Christopher L. Culp
Publisher : Springer
ISBN 13 : 3319930761
Total Pages : 331 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Credit Default Swaps by : Christopher L. Culp

Download or read book Credit Default Swaps written by Christopher L. Culp and published by Springer. This book was released on 2018-07-12 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as comprehensively summarizes the empirical evidence on important aspects of these instruments of risk transfer. Full-time academics, researchers at financial institutions, and students will benefit from the dispassionate and comprehensive summary of the academic literature; they can read this book instead of identifying, collecting, and reading the hundreds of academic articles on the important subject of credit risk transfer using derivatives and benefit from the synthesis of the literature provided.

An Introduction to Credit Derivatives

Author : Moorad Choudhry
Publisher : Butterworth-Heinemann
ISBN 13 : 0080982980
Total Pages : 173 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis An Introduction to Credit Derivatives by : Moorad Choudhry

Download or read book An Introduction to Credit Derivatives written by Moorad Choudhry and published by Butterworth-Heinemann. This book was released on 2012-12-31 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision. Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance. A post-crisis guide to a powerful bank risk management product, its history and its use Liberal use of Bloomberg screens and new worked examples increase hands-on practicality New online set of CDS pricing models and other worksheets multiply the book's uses

Credit Default Swaps

Author : Marti Subrahmanyam
Publisher : Now Publishers
ISBN 13 : 9781601989000
Total Pages : 150 pages
Book Rating : 4.9/5 (89 download)

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Book Synopsis Credit Default Swaps by : Marti Subrahmanyam

Download or read book Credit Default Swaps written by Marti Subrahmanyam and published by Now Publishers. This book was released on 2014-12-19 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.

Trading and Pricing Financial Derivatives

Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 298 pages
Book Rating : 4.5/5 (474 download)

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Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

CDS Delivery Option

Author : David Boberski
Publisher : John Wiley & Sons
ISBN 13 : 0470885262
Total Pages : 204 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis CDS Delivery Option by : David Boberski

Download or read book CDS Delivery Option written by David Boberski and published by John Wiley & Sons. This book was released on 2010-05-13 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: For traders trying to navigate the increasingly volatile credit default swap market, CDS Delivery Option provides worked-out examples, over 30 charts, a case study of Delphi, and detailed explanations of how the subprime crisis caused the credit crisis and the near collapse of the GSEs. The book includes detailed information on: how to value a CDS contract how to value the delivery option how contract value changes when the yield curve flattens or becomes steeper how contract value changes with bullish or bearish market moves how to figure out when to buy protection and when to sell protection how to hedge CDS risk when and how to unwind a contract prior to settlement when to hold a trade through delivery how to navigate a "squeeze" (when the notional value of contracts going through delivery is larger than the supply of the cheapest-to-deliver issue) when buying contracts can make their prices go down how to construct a basis trade how to find arbitrage opportunities how to analyze default probability and corporate debt when to settle via auction and when to settle via physical delivery which note is the cheapest to deliver This book is an indispensable resource for all market professionals working in the CDS market.

Credit Default Swap Markets in the Global Economy

Author : Go Tamakoshi
Publisher : Routledge Studies in the Modern World Economy
ISBN 13 : 9780367504212
Total Pages : 170 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Credit Default Swap Markets in the Global Economy by : Go Tamakoshi

Download or read book Credit Default Swap Markets in the Global Economy written by Go Tamakoshi and published by Routledge Studies in the Modern World Economy. This book was released on 2020-04 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.

Collateralized Debt Obligations

Author : Douglas J. Lucas
Publisher : John Wiley & Sons
ISBN 13 : 0471718874
Total Pages : 533 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Collateralized Debt Obligations by : Douglas J. Lucas

Download or read book Collateralized Debt Obligations written by Douglas J. Lucas and published by John Wiley & Sons. This book was released on 2006-05-05 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.

Credit Default Swap

Author : Gracia S. Ugut
Publisher : Penerbit NEM
ISBN 13 : 6231153282
Total Pages : 201 pages
Book Rating : 4.2/5 (311 download)

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Book Synopsis Credit Default Swap by : Gracia S. Ugut

Download or read book Credit Default Swap written by Gracia S. Ugut and published by Penerbit NEM. This book was released on 2024-04-15 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit default swaps and credit derivatives in general are one of the many specialized derivatives that are used for the purpose of hedging, speculation and arbitrage. The primary purpose of a credit derivative or the need behind the creation of such a product is to serve as a credit risk transfer mechanism. Credit risk is one of the four broadly classified types of risks (others being operational risk, market risk and liquidity risk) is the possibility of a loss resulting from a borrower’s failure to repay a loan or meet contractual obligations. Credit Default Swaps and Credit Derivatives gained popularity in the pre and during Global Financial Crisis in 2008. It has earned a bad reputation since then as it is perceived as one of the most dangerous financial derivatives. The decline in trading volume of emerging market sovereign CDS in the years since the 2008 global financial crisis, along with the steady rise in volume of emerging-market-bond ETFs, might have contributed to this increase in the relative efficiency of bond-price discovery. Credit-Default Swaps (CDS) were generally a better source of price discovery than spreads computed from bond prices. Credit-Default Swaps (CDS) tended to be a better measure of value compared to spreads computed from bonds, which may have been traded infrequently. However, since the COVID-19 crisis, the cash bond market appears to have made strong inroads as the better source for investors to compare relative value and risk.

Credit Risk

Author : Niklas Wagner
Publisher : CRC Press
ISBN 13 : 1584889950
Total Pages : 600 pages
Book Rating : 4.5/5 (848 download)

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Book Synopsis Credit Risk by : Niklas Wagner

Download or read book Credit Risk written by Niklas Wagner and published by CRC Press. This book was released on 2008-05-28 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio

Credit Default Swaps - Pricing, Valuation and Investment Applications

Author : Panagiotis Papadopoulos
Publisher : GRIN Verlag
ISBN 13 : 364089149X
Total Pages : 61 pages
Book Rating : 4.6/5 (48 download)

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Book Synopsis Credit Default Swaps - Pricing, Valuation and Investment Applications by : Panagiotis Papadopoulos

Download or read book Credit Default Swaps - Pricing, Valuation and Investment Applications written by Panagiotis Papadopoulos and published by GRIN Verlag. This book was released on 2011-04 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2010 in the subject Business economics - Investment and Finance, grade: 67%, University of Westminster (Westminster Business School), course: Financial Derivatives, language: English, abstract: "A credit default swap (CDS) is a bilateral agreement designed explicitly to shift credit risk between two parties. In a CDS, one party (protection buyer) pays a periodic fee to another party (protection seller) in return for compensation for default (or similar credit event) by a reference entity". Credit Default Swaps (CDS) are by far the most popular credit derivatives and have proven to be the most successful financial innovation. The structure of CDS is somewhat similar to the insurance policy. The market of CDS has heavily expanded and is traded in Over-The-Counter (OTC) market. This essay will briefly address the structure and the market of CDS, outlining its common products usage by some large institutions. Following the review of financial structure and pricing of CDS. And finally, this essay will also evaluate the risk management and investment applications of such products.

Understanding Credit Derivatives and Related Instruments

Author : Antulio N. Bomfim
Publisher : Academic Press
ISBN 13 : 0128004908
Total Pages : 420 pages
Book Rating : 4.1/5 (28 download)

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Book Synopsis Understanding Credit Derivatives and Related Instruments by : Antulio N. Bomfim

Download or read book Understanding Credit Derivatives and Related Instruments written by Antulio N. Bomfim and published by Academic Press. This book was released on 2015-11-23 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more

Python for Finance

Author : Yuxing Yan
Publisher : Packt Publishing Ltd
ISBN 13 : 1783284382
Total Pages : 653 pages
Book Rating : 4.7/5 (832 download)

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Book Synopsis Python for Finance by : Yuxing Yan

Download or read book Python for Finance written by Yuxing Yan and published by Packt Publishing Ltd. This book was released on 2014-04-25 with total page 653 pages. Available in PDF, EPUB and Kindle. Book excerpt: A hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python. Python for Finance is perfect for graduate students, practitioners, and application developers who wish to learn how to utilize Python to handle their financial needs. Basic knowledge of Python will be helpful but knowledge of programming is necessary.

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

Author : Jiri Podpiera
Publisher : International Monetary Fund
ISBN 13 : 1455201367
Total Pages : 33 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions by : Jiri Podpiera

Download or read book The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions written by Jiri Podpiera and published by International Monetary Fund. This book was released on 2010-06-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs.

Credit Derivatives

Author : Geoff Chaplin
Publisher : John Wiley & Sons
ISBN 13 : 0470686448
Total Pages : 420 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Credit Derivatives by : Geoff Chaplin

Download or read book Credit Derivatives written by Geoff Chaplin and published by John Wiley & Sons. This book was released on 2010-04-19 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors. Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk Management, Second Edition, covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. It provides: a description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring; analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings; tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management; a thorough analysis of counterparty risk; an intuitive understanding of credit correlation in reality and in the Copula model. The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and new chapters on the implementation and testing of credit derivative models and systems. The book is accompanied by a website which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit.

Credit Treasury

Author : G. Oricchio
Publisher : Springer
ISBN 13 : 0230307302
Total Pages : 389 pages
Book Rating : 4.2/5 (33 download)

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Book Synopsis Credit Treasury by : G. Oricchio

Download or read book Credit Treasury written by G. Oricchio and published by Springer. This book was released on 2011-03-29 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary global banking and financial system. It focuses on credit pricing in illiquid, liquid and hybrid markets. No one with any connection to the credit management business will be able to do without it.

Infectious Greed

Author : Frank Partnoy
Publisher : Times Books
ISBN 13 : 1466872705
Total Pages : 644 pages
Book Rating : 4.4/5 (668 download)

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Book Synopsis Infectious Greed by : Frank Partnoy

Download or read book Infectious Greed written by Frank Partnoy and published by Times Books. This book was released on 2014-06-03 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the bestselling author of F.I.A.S.C.O., a riveting chronicle of the rise of dangerous financial instruments and the growing crisis in American business One by one, major corporations such as Enron, Global Crossing, and Worldcom imploded all around us, prey to a greed-driven culture and dubious or illegal corporate finance and accounting. In a compelling and disturbing narrative, Frank Partnoy's Infectious Greed brings to bear all of his skills and experience as a securities attorney, financial analyst, law professor, and bestselling author to tell the story of the rise of the trading instruments and corporate financial structures that imperil the economic health of the country. Starting in the mid-1980s with the introduction of the first proto-derivatives, and taking us through such high-profile disasters as Barings Bank and Long Term Capital Management, Partnoy traces a seamless progression to today's dangerous manipulations. He documents how each new level of financial risk and complexity obscured the sickness of the company in question, and required ever more ingenious deceptions. It's an alarming story, but Partnoy offers a clear vision of how we can step back from the precipice.