Network Theory and Financial Risk (Second Edition)

Network Theory and Financial Risk (Second Edition)

PREORDER NOW Credit Default Swaps: The Vanilla Essence

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In “Credit Default Swaps - The Vanilla Essence”, the author Indra Rajaratnam provides an invaluable guide to the multifaceted risk considerations highlighting the importance of aligning risk management with product behaviour. This book should appeal to CDS specialists within investment banking, risk management, asset management, product research and professionals in the hedge fund and insurance sectors. Similarly, regulators, lawyers, academics and students can benefit from clarification of key technical concepts and understanding the behaviour of credit default swaps (CDSs) for the purposes of risk management.

£145.00
Availability: In stock
ISBN
9781782724414
 

In fast-paced financial environments with pressures on deal execution, and regulator focus on accountability-based governance, it’s important financial and risk professionals understand the behaviour of credit default swaps (CDSs) for the purposes of risk management, when trading, and structuring complex products based on, the “plain vanilla” CDS.

In “Credit Default Swaps - The Vanilla Essence”, the author Indra Rajaratnam provides an invaluable guide to the multifaceted risk considerations that stem from the structural features of a CDS (based on the “2014 ISDA Credit Derivatives Definitions” (the “2014 Definitions”).

This book should appeal to CDS specialists within investment banking, risk management, asset management, product research and professionals in the hedge fund and insurance sectors. Similarly, regulators, lawyers, academics and students can benefit from the author’s chapter-by chapter indepth coverage of major CDS themes (including redenomination, orphaning and sanctions), clarification of key technical concepts and evaluative discussion topics.

Additionally, readers can learn from case studies and over 70 illustrations which have been incorporated to simplify product rules, along with Determination Committee decisions over the period from 2009 - 2022 which give the reader a flavour of interpretation themes. The author also analyses basis risk considerations where both the 2014 Definitions and 2003 ISDA Credit Derivatives Definitions are relevant and for a more holistic view of risk management, common structured product amendments and index provisions are covered.

Throughout, the author highlights the importance of aligning risk management considerations with product behaviour. As Indra Rajaratnam emphasizes, any time spent understanding the nuances of a CDS is always beneficial. By developing a better understanding of CDS risks, effective risk mitigation becomes easier.

More Information
ISBN 9781782724414
Navision code MRAJ
Publication date 30/06/2020
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Indra Rajaratnam

Indra Rajaratnam is a Solicitor of England and Wales and works for Re:link (Linklaters) as a consultant with financial institutions in London. Indra previously worked for over 12 years as a director and deputy general counsel with Citigroup Global Markets Limited (London), where she was also seconded to Citigroup Global Markets Inc. (New York). In her role as in-house counsel, she advised a wide range of fixed income desks on credit derivatives, synthetic risk transfer transactions, structured derivatives/financing solutions and repackagings. Her principal focus was on credit, structured credit, asset-backed securities and correlation trading. Indra has participated in several industry credit derivatives working groups and committees established by the International Swaps and Derivatives Association Inc. (ISDA) and, in relation to credit indexes, IHS Markit (now part of S&P Global), that have shaped the form of many credit derivative products traded in the market today. Her work with these working groups and committees has included product reforms to the 2014 ISDA Credit Derivatives Definitions, “narrowly tailored activity”, the establishment of new trading conventions to facilitate the trading of “CoCos” and senior non-preferred debt, and other product initiatives under the auspice of ISDA’s Credit Steering Committee.

Prior to joining Citigroup in 2007, Indra worked in the securities and structured finance department of Ashurst (London) on collateralised debt obligations, structured credit and euro medium-term note (EMTN) issuances, and in the tax and revenue practice group of Messrs Shearn Delamore & Co. (Malaysia), where she specialised in investment fund issuances, cross-border tax and restructurings.

Indra gained a BA(Hons) in law with computing from the University of Kent in 1993, and an MBA (Corporate Finance and FinancialMarkets and Assets) with Distinction from Imperial College of Science, Technology and Medicine in 2001. She was awarded the Ford Prize in Management for her thesis on the Sharpe ratio of performance assessment in connection with European pension funds and their reform.

Contents

About the Author
Foreword - Stephen Bartlett, EMEA Regional General Counsel, Citigroup

Preface

PART I OVERVIEW
1 A credit default swap snapshot
2 Parties and key players
3 Documentation and standard trading conventions

PART II TECHNICAL CONCEPTS
4 Credit risk period, scheduled termination date and termination date
5 Fixed amounts, floating rate payer calculation amount and initial payment amount
6 Qualifying guarantee and qualifying affiliate guarantee
7 Reference obligation
8 Subordination and the senior non-preferred supplement
9 Outstanding principal balance and due and payable amount
10 Obligations and deliverable obligations

PART III CREDIT EVENTS AND SUCCESSIONS
11 Credit event overview
12 Bankruptcy
13 Failure to pay
14 Repudiation/moratorium
15 Restructuring and redenomination
16 Governmental intervention and contingent convertible capital instruments
17 Successor determinations

PART IV EVIDENTIARY MATTERS AND CONVENTIONS
18 Publicly available information and eligible information
19 Notices
20 Business day terms and timing rules

PART V SETTLEMENT
21 Event determination date and settlement methods
22 Auction settlement
23 Cash settlement
24 Physical settlement
25 Physical settlement fallback procedures

PART VI DISCUSSION TOPICS
26 Orphaning
27 Fixed recovery transaction and reference obligation only trade
28 Novation and early termination
29 Economic sanctions: compliance challenges
30 Disclosures and regulations
31 Conclusion: at the “Exit Checkpoint”

Appendix
References