Get An Introduction to Credit Derivatives PDF

By Moorad Choudhry

ISBN-10: 0080982956

ISBN-13: 9780080982953

The moment version of An creation to credits Derivatives presents a huge advent to items and a industry that experience replaced considerably because the monetary hindrance of 2008. writer Moorad Choudhry supplies a practitioner's point of view on credits by-product tools and the dangers they contain in a succinct sort with out sacrificing technical information and clinical precision.

Beginning with foundational discussions of credits possibility, credits danger move and credits scores, the booklet proceeds to envision credits default swaps and similar pricing, asset swaps, credit-linked notes, and extra. abundant references, appendices and a word list upload significantly to the lasting price of the e-book for college kids and pros in finance.

  • A post-crisis consultant to a strong financial institution probability administration product, its historical past and its use
  • Liberal use of Bloomberg displays and new labored examples elevate hands-on practicality
  • New on-line set of CDS pricing versions and different worksheets multiply the book's uses

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Extra info for An Introduction to Credit Derivatives

Sample text

3 CREDIT DEFAULT SWAPS Basket default swaps are the main building blocks for other types of more complex structured product such as synthetic collateralized debt obligations. These often feature a portfolio of reference assets, all of which are the reference names in one basket CDS. 3 Unwinding a CDS Position The CDS should be viewed primarily as an investment instrument. This is subtly different from viewing it as a risk management or risk mitigation tool. The terminology used in the market is a throwback to the days when CDS was considered the same way as an insurance contract.

Under certain circumstances it is possible for credit default swaps to create unintended risk exposure for holders, by exposing them to greater frequency and magnitude of losses compared to that suffered by a holder of the underlying reference credit. In a credit default swap, the payout to a buyer of protection is determined by the occurrence of credit events. The definition of a credit event sets the level of credit risk exposure of the protection seller. A wide definition of ‘credit event’ results in a higher level of risk.

6). All existing indices can be traded although the most liquid index is the current one. Reference names are all investment-grade rated and are the highest traded names by CDS volume in the past 6 months. A bank buying protection in EUR 10 million notional of the index has in effect bought protection on EUR 80,000 each of 125 single-name The screens for the iTraxx are found by typing ITRX CDS ,Corp . ,go.. 6 List of iTraxx indices as shown on Bloomberg, 19 June 2006. 7 Additional terms for June 2011 iTraxx Europe index.

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An Introduction to Credit Derivatives by Moorad Choudhry

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