A complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions.
Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author.
The First Edition of Credit Derivatives was published in 1998. It was designed to meet the growing interest in complex instruments. An updated Second Edition was released in 2000. Credit Derivatives, CDOs & Structured Credit Products 3rd Edition offers comprehensive information on credit derivative products (both standard and structured), documentation issues, pricing/ valuation approaches, applications and the market.
Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author.
Key areas of new/ enhanced coverage include:
.Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations).
.Description of developments in structured credit products including:
1.Portfolio products
2.Up-front credit default swaps
3.Quanto credit default swaps
4.Credit swaptions
5.Zero recovery credit default swaps
6.First-to-default swaps/ Nth –to-default swaps
7.Asset swaptions/ synthetic lending facilities/ structured asset swaps
8.Constant maturity credit spread products and constant maturity credit default swaps
9.Credit index products
10. Equity default swaps
.Increased coverage of credit linked notes incl...
