信贷衍生物：风险管理、贸易与投资 CREDIT DERIVATIVES
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作者： Geoff Chaplin著
出 版 社： John Wiley & Sons
出版时间： 2005-5-1字数：版次： 1页数： 311印刷时间： 2005/07/01开本：印次：纸张： 胶版纸I S B N ： 9780470024164包装： 精装内容简介
The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related ‘real world’ issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides:
A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring
Analysis of the industry standard ‘default and recovery’ and Copula models including many examples, and a description of the models’ shortcomings
Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management
A thorough analysis of counterparty risk
An intuitive understanding of credit correlation in reality and in the Copula model
The CD in the back of this book includes an Evaluation Version of Mathcad® 12 Single User Edition, which is reproduced by permission. This software is a fully-functional trial of Mathcad which will expire 30 days from installation. For technical support or more information see http://www.mathcad.com.
作者简介
GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972) and Oxford (MSc 1973, DPhil 1975) and qualified as an actuary (FFA 1978) while working in a life insurance company. He moved to the City in 1980 and has worked for major banks (including HSBC, Nomura International, and ABN AMRO) as well as consulting to hedge funds, corporate treasurers, and institutional investment funds. He has been involved in the credit derivatives market since 1996 and has both traded portfolio products and developed risk management systems for these products. In addition to consulting and training for the major financial institutions, Geoff has maintained strong academic interests and was a visiting (emeritus) professor at the University of Waterloo (Canada) from 1987 until 1999. He has also published many articles (in Risk, the Journal of the Institute and Faculty of Actuaries, and others) and speaks regularly at conferences on credit derivatives.
目录
Preface.
Acknowledgements.
Disclaimer and Software Instructions.
Table of Spreadsheet Examples and Software.
PART Ⅰ: CREDIT BACKGROUND AND CREDIT DERIVATIVES.
1. Credit Debt and Other Traditional Credit Instruments.
2. Default and Recovery Data; Transition Matrices; Historical Pricing.
3. Asset Swaps and Asset Swap Spread; z-Spread.
4. Liquidity, the Credit Pyramid and Market Data .
5. Traditional Counterparty Risk Management.
6. Credit Portfolios and Portfolio Risk.
7. Introduction to Credit Derivatives.
PART Ⅱ: CREDIT DEFAULT SWAPS AND OTHER SINGLE NAME PRODUCTS.
8. Credit Default Swaps; Product Description and Simple Applications.
9. Valuation and Risk: Basic Concepts and the Default and Recovery Model.
10. CDS Deal Examples.
11. CDS/Bond Basis Trading.
12. Forward CDS; Back-to-Back CDS, Mark-to-Market and CDS Unwind.
13. Credit-Linked Notes.
14. Digital or 'Fixed Recovery' CDS.
15. Spread Options, Callable/Puttable Bonds, Callable Asset Swaps, Callable Default Swaps.
16. Total Return Swaps .
17. Single Name Book Management.
18. CDS and Simulation.
PART Ⅲ: PORTFOLIO PRODUCTS.
19. Nth-to-Default Baskets.
20. Collateralised Debt Obligations.
21. Valuation and Hedging.
22. The Correlation Matrix.
23. Other Copulae.
24. Correlation Portfolio Management.
PART Ⅳ: DEFAULT SWAPS INCLUDING COUNTERPARTY RISK.
25. 'Single Name' CDS.
26. Counterparty CDS.
27. The Future for Credit Derivatives.
Appendix: iTraxx Indices.
References.
Index.
