Currency
Credit Derivatives
By Jon Gregory
£99.00
Combining the views of some of the most prominent thinkers and renowned practitioners in the credit derivatives market, this title’s unique encyclopaedic coverage of the sector spans everything from the basics to much more advanced quantitative issues.
Availability:
In stock
ISBN
9781904339120
Guides the risk professional in the purchase and use of credit derivatives, including in-depth advice on how to avoid the pitfalls.
Unlike other titles available on the market, Credit Derivatives provides a thorough yet detailed overview of all areas of credit derivatives knowledge including the products, applications, markets and regulatory issues.
Illustrates a selection of models presented by leading quants in the field who provide insight into the more technical aspects including advanced theoretical issues and different modelling approaches.
An extensive range of related key topics are additionally covered including: default protection, portfolio management, Basel II, credit linked notes, CDOs and much more.
| ISBN | 9781904339120 |
|---|---|
| Navision code | MCD |
| Publication date | 1 Sep 2003 |
| Size | 155mm x 235mm |
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Jon Gregory
Dr Jon Gregory is an independent expert specialising in counterparty risk and XVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF).
In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book Counterparty Credit Risk The New Challenge for the Global Financial Markets published by Wiley Finance in December 2009 (now in its third edition) and Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.
Jon has a PhD from Cambridge University.
Foreword
The Challenges of a Dynamic Marketplace
Simon Greaves, Application Networks
Introduction
Jon Gregory
Section 1. The Default Swap Market
1. Credit Derivatives: The Past, the Present and the Future
Robert Reoch
2. The Determinant of Credit Spread Returns
Jouke Hottinga, Aegon and Machiel Zwanenburg, Robeco.
3. What’s Driving the Default Swap Basis?
Viktor Hjort, Morgan Stanley.
4. What is the Value of Modified Restructuring?
Alex Reyfman and Klaus Toft, Goldman Sachs.
5. The Debt and Equity Linkage and the Valuation of Credit Derivatives
Sean Keenan, Jorge Sobehart and Terry Benzschawel, CitiGroup.
Section 2. Default Correlation and Credit Portfolio Risk
6. Nth to Default Swaps and Notes: All About Default Correlation
Douglas Lucas and Alberto Thomas, UBS.
7. Portfolio Credit Risk Models
Greg Gupton, Moodys KMV.
8. Credit Derivatives as an Efficient Way of Transitioning to Optimal Portfolios
Alla Gil, Citigroup.
Section 3. Structured Credit Derivatives and Portfolio Management
9. Overview of the CDO Market
Eileen Murphy, Barclay’s Capital.
10. Synthetic Securitisation and Structured Credit Derivatives
Paul Hawkins, Merrill Lynch.
11. Structured Credit and the Collateralised Synthetic Obligation
Moorad Choudhry, KBC Financial Products.
12. Distinguishing a Synthetic CDO from a Cash CDO
Alexander Batchvarov, Jenna Collins and William Davies, Merrill Lynch.
13. CDOs of CDOs
Darren Smith, Dresner Kleinwort Benson.
Section 4. Models and Valuation
14. Valuation and Risk Analysis of Synthetic CDOs: A Copula Function Approach David X Li and Jure Skarabot, Citigroup.
15. Extreme Events and Multi-name Credit Derivatives
Roy Marshal, Marco Naldi and Assaf Zeevi, Lehman Brothers.
16. Reduced-form Models: Curve Construction and the Pricing of Credit Swaps, Options, and Hybrids
Leif Anderson, Bank of America.
17. Dynamite Dynamics
Jesper Andreasen, Nordea Markets.
18. Modelling and Hedging of Default Risk
Monique Jeanblanc and Marek Rutkowski, Universitẻ d’Evry and Warsaw University of Technology.
Section 5. Regulatory, documentation and legal aspects
19. ISDA’s Role in the Credit Derivatives Marketplace
Louise Marshall, ISDA.
20. Credit Linked Notes
Rodanthy Tzani and Maria Leibholz, Moody’s Investor Services.
21. Using Guarantees and Credit Derivatives to Reduce Credit Risk Capital Requirements Under the New Basel Capital Accord
Erik Heitfield, Federal Reserve Board.