Handbook Of Credit Derivatives

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The Oxford Handbook of Credit Derivatives

Author : Alexander Lipton
Publisher : OUP Oxford
ISBN 13 : 0191648256
Total Pages : 828 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis The Oxford Handbook of Credit Derivatives by : Alexander Lipton

Download or read book The Oxford Handbook of Credit Derivatives written by Alexander Lipton and published by OUP Oxford. This book was released on 2013-01-17 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts

Handbook of Credit Derivatives

Author : Jack Clark Francis
Publisher : McGraw-Hill Companies
ISBN 13 : 9780070225886
Total Pages : 0 pages
Book Rating : 4.2/5 (258 download)

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Book Synopsis Handbook of Credit Derivatives by : Jack Clark Francis

Download or read book Handbook of Credit Derivatives written by Jack Clark Francis and published by McGraw-Hill Companies. This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: For financial professionals, credit derivatives are uniquely powerful tools to manage credit risk--tools that are less costly and more effective than traditional methods. Investors, on the other hand, appreciate the efficiency with which they can use credit derivatives to easily access different sectors of the credit markets. Regardless of your perspective, The Handbook of Credit Derivatives will give you expert knowledge and insights into credit-derivatives, arm you with the latest professional tactics and techniques for pricing and evaluating these versatile securities, and help you get your arms around today's most exciting, rewarding risk management and investment tool. Book jacket.

Credit Derivatives and Structured Credit

Author : Richard Bruyere
Publisher : John Wiley & Sons
ISBN 13 : 0470026235
Total Pages : 294 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Credit Derivatives and Structured Credit by : Richard Bruyere

Download or read book Credit Derivatives and Structured Credit written by Richard Bruyere and published by John Wiley & Sons. This book was released on 2006-06-14 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps – the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market A clearly-written, pedagogical book with numerous illustrations Detailed review of real-case transactions A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends

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 Derivatives and Synthetic Structures

Author : Janet M. Tavakoli
Publisher : John Wiley & Sons
ISBN 13 : 9780471412663
Total Pages : 328 pages
Book Rating : 4.4/5 (126 download)

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Book Synopsis Credit Derivatives and Synthetic Structures by : Janet M. Tavakoli

Download or read book Credit Derivatives and Synthetic Structures written by Janet M. Tavakoli and published by John Wiley & Sons. This book was released on 2001-07-16 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fully revised and updated Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures. "If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book." --Merton H. Miller, winner, Nobel Prize in Economics, 1990 "Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.

Structured Products and Related Credit Derivatives

Author : Brian P. Lancaster
Publisher : John Wiley & Sons
ISBN 13 : 047036923X
Total Pages : 545 pages
Book Rating : 4.4/5 (73 download)

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Book Synopsis Structured Products and Related Credit Derivatives by : Brian P. Lancaster

Download or read book Structured Products and Related Credit Derivatives written by Brian P. Lancaster and published by John Wiley & Sons. This book was released on 2008-06-20 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.

The Handbook of Credit Risk Management

Author : Sylvain Bouteille
Publisher : John Wiley & Sons
ISBN 13 : 1118300203
Total Pages : 44 pages
Book Rating : 4.1/5 (183 download)

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Book Synopsis The Handbook of Credit Risk Management by : Sylvain Bouteille

Download or read book The Handbook of Credit Risk Management written by Sylvain Bouteille and published by John Wiley & Sons. This book was released on 2012-12-17 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.

Modelling Single-name and Multi-name Credit Derivatives

Author : Dominic O'Kane
Publisher : John Wiley & Sons
ISBN 13 : 1119995442
Total Pages : 515 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Modelling Single-name and Multi-name Credit Derivatives by : Dominic O'Kane

Download or read book Modelling Single-name and Multi-name Credit Derivatives written by Dominic O'Kane and published by John Wiley & Sons. This book was released on 2011-03-08 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.

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 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.

The Handbook of Equity Derivatives

Author : Jack Clark Francis
Publisher : John Wiley & Sons
ISBN 13 : 9780471326038
Total Pages : 742 pages
Book Rating : 4.3/5 (26 download)

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Book Synopsis The Handbook of Equity Derivatives by : Jack Clark Francis

Download or read book The Handbook of Equity Derivatives written by Jack Clark Francis and published by John Wiley & Sons. This book was released on 1999-11-08 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aktienderivate gehören zu den populärsten Derivatprodukten, die von institutionellen Anlegern gehandelt werden. Ein Aktienderivat ist ein Future oder eine Option auf Aktien oder Aktienindices. Zu den traditionellen Aktienderivaten gehören Optionsscheine, Optionen, Futures und Aktienindexfutures. Das "Handbook of Equity" ist eine vollständige und umfassende Überarbeitung des ersten und einzigen Buches zu diesem Thema. Herausgegeben von führenden Köpfen der Branche - darunter Nobelpreisträger Fischer Black, John Braddock und Mark Rubenstein - enthält es wichtige neue Informationen zu Aktienindexfutures und -optionen und erweitert die mathematische Diskussion um das Black & Scholes-Modell. (11/99)

The Structured Credit Handbook

Author : Arvind Rajan
Publisher : John Wiley & Sons
ISBN 13 : 0470100087
Total Pages : 544 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis The Structured Credit Handbook by : Arvind Rajan

Download or read book The Structured Credit Handbook written by Arvind Rajan and published by John Wiley & Sons. This book was released on 2007-03-31 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Structured Credit Handbook is a comprehensive introduction to all types of credit-linked financial instruments. This book provides state-of-the-art primers on single tranche collateralized debt obligations (CDOs), collateralized loan obligations (CLOs), credit derivatives (such as credit default swaps and swaptions), and iBoxx indexes. Filled with in-depth insight and expert advice, The Structured Credit Handbook covers all aspects of the synthetic arbitrage CDO market, including new instruments such as CDO2. Readers will also gain a firm understanding of the investment rationale, risks, and rewards associated with CDO investments through this valuable resource. The exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit, creating an $18 trillion market almost overnight and resulting in innumerable investment and career opportunities globally. The Structured Credit Handbook provides the reader with a comprehensive and clear roadmap to today's new credit landscape. The full spectrum of structured credit products, from single-name CDS to CDOs, is explained in a simple, clear fashion that is free from the financial jargon and mathematical complexity which characterize many other derivative texts. The handbook begins with an in-depth explanation of the building blocks of the structured credit markets, single-name default swaps and indexes, and it culminates with complex products such as credit options, synthetic tranches, CDOs based on bank loans and asset-backed securities, and CDO-squareds. Written by experienced practitioners who have participated in this market since its infancy, each of the thirteen chapters introduces and analyzes a new product and explains its practical applications. A rich set of real-life case studies illustrate the application of each product in a concrete market setting. The book may be used in a semester-long course on structured credit as part of a business or finance curriculum. Whether you are a market professional, a university student or faculty member, or simply a financially savvy layperson, look no further for an up-to-date and thorough introduction to this rapidly growing and exciting field. Dr. Arvind Rajan, Managing Director, Citigroup Global Markets, is engaged in proprietary trading of Structured Credit products, and until recently, was global head of Structured Credit Research and Strategy at Citigroup. Glen McDermott (New York, NY) is Director of Fixed Income Sales and the former head of CDO Research at Citigroup Global Markets Inc. Ratul Roy is head of CDO Strategy for Citigroup Global Markets and has spent the prior nine years in structuring or analyzing CDOs and other structured credit products.

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.

Fixed-Income Securities and Derivatives Handbook

Author : Moorad Choudhry
Publisher : John Wiley & Sons
ISBN 13 : 1576603342
Total Pages : 499 pages
Book Rating : 4.5/5 (766 download)

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Book Synopsis Fixed-Income Securities and Derivatives Handbook by : Moorad Choudhry

Download or read book Fixed-Income Securities and Derivatives Handbook written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2010-08-02 with total page 499 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed-come securities-revised to reflect today's dynamic financial environment The Second Edition of the Fixed-Income Securities and Derivatives Handbook offers a completely updated and revised look at an important area of today's financial world. In addition to providing an accessible description of the main elements of the debt market, concentrating on the instruments used and their applications, this edition takes into account the effect of the recent financial crisis on fixed income securities and derivatives. As timely as it is timeless, the Second Edition of the Fixed-Income Securities and Derivatives Handbook includes a wealth of new material on such topics as covered and convertible bonds, swaps, synthetic securitization, and bond portfolio management, as well as discussions regarding new regulatory twists and the evolving derivatives market. Offers a more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations Covers bond mathematics, pricing and yield analytics, and term structure models Includes a new chapter on credit analysis and the different metrics used to measure bond-relative value Contains illustrative case studies and real-world examples of the topics touched upon throughout the book Written in a straightforward and accessible style, Moorad Choudhry's new book offers the ideal mix of practical tips and academic theory within this important field.

Structured Credit Products

Author : Moorad Choudhry
Publisher : John Wiley & Sons
ISBN 13 : 1118177134
Total Pages : 628 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis Structured Credit Products by : Moorad Choudhry

Download or read book Structured Credit Products written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updated coverage of structured credit products with in-depth coverage of the latest developments Structured credit products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown, along with models and teaching aids. Moorad Choudhry returns with this excellent update of the credit derivatives market. The second edition of his classic work is, like the subject matter itself, at the forefront of the financial industry. It deserves a wide readership. —Dr Didier Joannas Regional Director, Thomson Reuters, Hong Kong This is the perfect companion for both experienced and entry level professionals working in the structured credit fraternity. It is an erudite, insightful and enjoyable read that successfully demystifies one of the most topical subject areas in banking today, while also providing important practical examples that link the theory to the job itself. —Dr James Berriman Global Pricing Unit, Royal Bank of Scotland Moorad Choudhry has earned a deserved reputation from both academics and practitioners as one of the leading practical yet rigorous authors of finance books. In this Second Edition, his practical knowledge of credit derivatives keeps the audience engaged with straightforward explanations of complicated structures, and an accessible level of mathematical sophistication necessary to understand structured credit products. The author offers complete, rigorous analysis while avoiding overuse of mathematical formulas and carefully balanced practical and theoretical aspects of the subject. I strongly recommend this book for those wishing to gain an intuitive understanding of structured credit products, from practitioners to students of finance! —Mohamoud Barre Dualeh Senior Product Developer, Abu Dhabi Commercial Bank, UAE This is THE book for credit derivative trading. From first steps to advanced trading strategies, this is invaluable. Well written and insightful, perfect for ad hoc reference or reading cover to cover. —Andrew Benson ETF Market Making, KBC Peel Hunt, London Professor Choudhry has inspired me to really get into credit derivatives. It’s great to be lectured by someone with such energy and practical hands-on experience, as well as the ability to get stuck into the details. —George Whicheloe Equity-Linked Technology, Merrill Lynch, London Moorad Choudhry is Head of Treasury at Europe Arab Bank plc in London. He is a Visiting Professor at the Department of Economics at London Metropolitan University.

The Advanced Fixed Income and Derivatives Management Guide

Author : Saied Simozar
Publisher : John Wiley & Sons
ISBN 13 : 111901414X
Total Pages : 368 pages
Book Rating : 4.1/5 (19 download)

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Book Synopsis The Advanced Fixed Income and Derivatives Management Guide by : Saied Simozar

Download or read book The Advanced Fixed Income and Derivatives Management Guide written by Saied Simozar and published by John Wiley & Sons. This book was released on 2015-06-15 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options analysis available;, this book features numerous practical examples that can be used for creating alpha transfer to any fixed income portfolio. With a framework that unifies back office operations, such as risk management and portfolio management in a consistent way, readers will be able to better manage all sectors of fixed income, including bonds, mortgages, credits, and currencies, and their respective derivatives, including bond and interest rate futures and options, callable bonds, credit default swaps, interest rate swaps, swaptions and inflation swaps. Coverage includes never-before-seen detail on topics including recovery value, partial yields, arbitrage, and more, and the companion website features downloadable worksheets that can be used for measuring the risks of securities based on the term structure models. Many theoretical models of the Term Structure of Interest Rates (TSIR) lack the accuracy to be used by market practitioners, and the most popular models are not mathematically stable. This book helps readers develop stable and accurate TSIR for all fundamental rates, enabling analysis of even the most complex securities or cash flow structure. The components of the TSIR are almost identical to the modes of fluctuations of interest rates and represent the language with which the markets speak. Examine unique arbitrage, risk measurement, performance attribution, and replication of bond futures Learn to estimate recovery value from market data, and the impact of recovery value on risks Gain deeper insight into partial yields, product design, and portfolio construction Discover the proof that corporate bonds cannot follow efficient market hypothesis This useful guide provides a framework for systematic and consistent management of all global fixed income assets based on the term structure of rates. Practitioners seeking a more thorough management system will find solutions in The Advanced Fixed Income and Derivatives Management Guide.

Credit Derivatives

Author : Mark J. P. Anson
Publisher : John Wiley & Sons
ISBN 13 : 0471652385
Total Pages : 353 pages
Book Rating : 4.4/5 (716 download)

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Book Synopsis Credit Derivatives by : Mark J. P. Anson

Download or read book Credit Derivatives written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2004-02-01 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.