Academic Press Advanced Finance: Understanding Credit Derivatives and Related In

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Item specifics

Condition:

Brand New: A new, unread, unused book in perfect condition with no missing or damaged pages. See the seller’s
Publication Year: 2004
Format: Hardcover Language: English
ISBN:

9780121082659

Academic Press Advanced Finance: Understanding Credit Derivatives and Related In

Product Details

Synopsis
The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990s to over $2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developments in its various segments, such as the market for single-name credit derivatives or the market for credit derivatives written on sovereign credits. Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models. * Offers a broad overview of this growing field * Discusses all the main types of credit derivatives * Provides back-of-the-book summary of statistics and fixed-income mathematics Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.

Product Identifiers
ISBN-10 0121082652
ISBN-13 9780121082659

Key Details
Author Antulio N. Bomfim
Number Of Pages 368 pages
Series Academic Press Advanced Finance
Format Hardcover
Publication Date 2004-12-06
Language English
Publisher Elsevier Science & Technology Books
Publication Year 2004

Additional Details
Copyright Date 2005
Illustrated Yes

Dimensions
Weight 35.3 Oz
Width 6 In.
Length 9 In.

Target Audience
Group Scholarly & Professional

Classification Method
LCCN 2005-270009
LC Classification Number HG6024.A3B66 2005
Dewey Decimal 332.6457
Dewey Edition 22

Table Of Content
1 Credit Derivatives: A Brief Overview 2 The Credit Derivatives Market 3 Main Uses of Credit Derivatives 4 Floating-Rate Notes 5 Asset Swaps 6 Credit Default Swaps 7 Total Return Swaps 8 Spread and Bond Options 9 Basket Default Swaps 10 Portfolio Default Swaps 11 Principal-Protected Structures 12 Credit-Linked Notes 13 Repackaging Vehicles 14 Synthetic CDOs 15 Valuing Defaultable Bonds 16 The Credit Curve 17 Main Credit Modeling Approaches 18 Valuing of Credit Options 19 The Basics of Portfolio Credit Risk 20 Valuing Basket Default Swaps 21 Valuing Portfolio Swaps and CDOs 22 A Quick Tour of Commercial Models 23 Modeling Counterparty Credit Risk 24 Anatomy of a CDS Transaction 25 A Primer on Bank Regulatory Issues Appendix A Basic Concepts from Bond Math Appendix B Basic Concepts from Statistics

Reviews
This enjoyable book on credit derivatives will be useful to both students of finance and practitioners. Bomfim does for credit what Hull does for options, futures and other derivatives.–Kay Giesecke, Visiting Assistant Professor, School of Operations Research and Industrial Engineering, Cornell UniversityAntulio Bomfin’s exploration of the pricing and valuation of credit derivatives is extraordinarily accessible and therefore will serve as an essential primer for those unfamiliar with credit derivative markets. At the same time, the depth of discourse in Understanding Credit Derivatives will be appreciated by experts who seek a better grounding in the fundamental principles of this complex market.– Heidi Mandanis Schooner, Visiting Professor of Law, George Washington University Law SchoolComprehensive in coverage, economical in exposition, very accessible, and a pleasure to read – this book covers the gamut of issues in modern credit modeling in a manner that will appeal to practitioners, academics and students.– Sanjiv Das, Professor of Finance, Santa Clara University…offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, the book offers intuitive, yet rigorous summaries of the major subjects. Its centerpiece focuses on pricing and valuation issues, especially discussions of different valuation tools and their application to credit models.– Gunter Dufey, Prof. em., The University of Michigan; Prof. of Banking and Finance, Nanyang Technological University – NBS, SingaporeUnderstanding Credit Derivatives and Related Instruments is a most valuable offering in this rapidly expanding area of finance. The book provides an introduction to the credit derivatives market for the uninitiated and then addresses the pricing and valuing of these instruments, as well as describing valuation tools and their use in credit models. The book also provides a most useful description of the documentation of credit derivative transactions under the ISDA forms that govern these transactions.– Jerry Markham, Professor of Law, Florida International University…this is an outstanding book. I can’t recommend it highly enough.- www.riskbook.com

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