Overview

As a guide to the purchase and use of credit derivatives, this definitive guide has no equal. With succinct presentation of all the important facts and key techniques used in the market, Credit Derivatives' 21 chapters will bring you right up-to-date with all the inside knowledge you need to aid your progress in this complex industry.

Full Product Details

Author:   Jon Gregory, Ph. D.
Publisher:   Risk Books
Imprint:   Risk Books
Dimensions:   Width: 15.50cm , Height: 3.20cm , Length: 23.50cm
ISBN:  

9781904339120

ISBN 10:   1904339123
Pages:   400
Publication Date:   30 September 2003
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

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 Mashal, 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, University 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.

Reviews

This is the book to read on credit derivatives... easily the most authoritative available. Glyn Holton, Contingency Analysis By tapping into the knowledge base of numerous very experienced and seasoned market professionals, this book provides a unique insight into the latest developments of the ever growing credit derivatives market. Paul van der Maas

Author Information

Jon Gregory is global head of the research team for credit trading and derivatives at BNP Paribas. His team has provided the quantitative foundations for the rapid growth of the BNP Paribas credit derivative desks in London, New York, Hong Kong and Tokyo, since the BNP and Paribas merger in 2000. Jon joined Paribas in 1997 and was responsible for the development of the internal model for analysing the economic capital of the fixed income division. In addition to his work on credit risk modelling he has worked on pricing and risk management issues in interest-rate and equity and insurance derivatives. His main interest lies in reconciling theoretical and practical approaches for pricing, hedging and managing credit risk. He worked in the Fixed Income division of Salomon Brothers (now part of Citigroup) prior to joining Paribas in 1997. In addition to publishing papers on the pricing of credit risk and related topics, he is co-author of the best selling book Credit: The Complete Guide to Pricing, Hedging and Risk Management, short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon gained a BSc from the University of Bristol in 1993 and was awarded his PhD from Cambridge University in 1996.

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