Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing

Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing

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An essential guide to credit derivatives

Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products.

Chapter 1. Introduction.

Chapter 2. Types of Credit Risk.

Chapter 3. Credit Default Swaps.

Chapter 4. Asset Swaps and the Credit Default Swap Basis.

Chapter 5. Total Return Swaps.

Chapter 6. Credit-Linked Notes.

Chapter 7. Synthetic Collateralized Debt Obligation Structures. Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing

Chapter 8. Credit Risk Modeling: Structural Models.

Chapter 9. Credit Risk Modeling: Reduced Form Models.

Chapter 10. Pricing of Credit Default Swaps.

Chapter 11. Options and Forwards on Credit-Related Spread Products.

Chapter 12. Accounting for Credit Derivatives.

Chapter 13. Taxation of Credit Derivatives.

Index.