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The Credit Default Swap Basis (Bloomberg Financial)
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DescriptionThe growth of the credit derviatives market has produced a liquid market in credit default swaps across the credit curve, and this liquidity has led many investors to access both the credit derivative and cash bond markets to meet their investment requirements... |
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Recovery Risk in Credit Default Swap Premia $69.95 Recovery Risk in Credit Default Swap Premia |
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Credit Default Swap $81.25 A credit default swap (CDS) is a swap contract in which the buyer of the CDS makes a series of payments to the seller and, in exchange, receives a payoff if a credit instrument (typically a bond or loan) goes into default (fails to pay). Less commonly, the credit event that triggers the payoff can be a company undergoing restructuring, bankruptcy, or even just having its credit rating downgraded. CDS contracts have been compared with insurance, because the buyer pays a premium and, in return, receives a sum of money if one of the events specified in the contract occurs. However, there are a number of differences between CDS and insurance, for example: The buyer of a CDS does not need to own the underlying security or other form of credit exposure; in fact the buyer does not even have to suffer a loss from the default event.In contrast, to purchase insurance, the insured is generally expected to have an insurable interest such as owning a debt obligation; the seller need not be a regulated entity; the seller is not required to maintain any reserves to pay off buyers, although major CDS dealers are subject to bank capital requirements. Author: Miller, Frederic P./ Vandome, Agnes F./ McBrewster, John Binding Type: Paperback Number of Pages: 92 Publication Date: 2009/11/23 Language: English Dimensions: 5.98 x 9.01 x 0.22 inches |
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The Credit Default Swap Basis (Hardcover) $116.61 An up-to-date resource on the intricacies of the credit default swap basisWhile credit default swaps and credit derivatives are of great concern to many in the field of finance, the Second Edition of The Credit Default Swap Basis does not directly focus on these issues. It is instead about an aspect of CDS behavior, the basis, which is of importance to all users of CDS products. An understanding of the basis is essential to anyone involved in the credit-risky debt capital markets, whether you`re an investor, trader, or broker.The credit default swap basis (the basis) defines the relationship between the cash and synthetic credit markets. Finance professionals need to understand the drivers of the basis in order to better undertake investment and value analysis, and for trading purposes. In this updated Second Edition, author Moorad Choudhry, a market practitioner who has published widely in the field of credit derivatives, explores this dynamic discipline and examines the structural changes in the CDS market, including new settlement mechanisms and contract standardization. Along the way, he describes how basis pricing has changed in the aftermath of the financial crisis and what that change means in regard to overall market and trading opportunities.The only book on basis issues of credit default swaps, it provides practitioners with vital information on valuation, credit risk assessment, and basis trading strategiesAddresses structural changes to the market, including the introduction of central clearing houses in the U.S. and Europe and standardization of contracts to reduce disputes about payout settlementsCovers the close relationship between the synthetic and cash markets in credit, which manifests itself in the credit default swap basisThe Credit Default Swap Basis, Second Edition offers invaluable market insights to all financial professionals seeking a deeper understanding of cr |
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The Credit Default Swap Basis $37.5 This book is in New - Excellent condition |
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The Credit Default Swap Basis By Choudhry, Moorad $48.75 Author: Choudhry, Moorad Publication Date: 2006/10/01 Number of Pages: 195 Binding Type: Hardcover Language: English Depth: 0.75 Width: 6.00 Height: 8.50 |
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Default Risk in Bond and Credit Derivatives Markets $173.65 Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising specifications is tested using corporate bond data. The book provides one of the most comprehensive empirical studies in the field, from Kalman filtration of affine term structure models to the use of Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in empirical research, the book devotes special attention to the identification factors that can explain credit default swap premia. Author: Benkert, Christoph Series Title: Lecture Notes in Economic and Mathematical Systems Series Number: 543 Binding Type: Paperback Number of Pages: 135 Publication Date: 2004/09/01 Language: English Dimensions: 9.25 x 6.66 x 0.35 inches |
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Konzeption Und Anwendung Von Credit Default Swaps $28.51 Studienarbeit aus dem Jahr 2010 im Fachbereich BWL Investition und Finanzierung, einseitig bedruckt, Note: 1,7, Hochschule f r Oekonomie Management gemeinn tzige GmbH, Hochschulleitung Essen fr her Fachhochschule (BCW), Sprache: Deutsch, Abstract: Ziel dieser Arbeit ist es, die Konzeption und Anwendung von Credit Default Swaps darzustellen, zu erl utern und ihre Funktion darzustellen. Dabei werden CDSs weiteren Kreditderivaten gegen bergestellt. Als wichtiges Thema werden die CDSs hinsichtlich der Finanzmarktkrise betrachtet. Ziel der Arbeit ist es weiterhin, auf die generelle Bedeutung von Kreditderivaten einzugehen und damit entstehende Chancen zu betrachten.Zun chst werden in Kapitel 2 grundlegende Begriffe, wie Kredit, Kreditrisiko und ausfall, sowie Kreditderivate definiert. Anschlie end wird in Kapitel 3 auf die Konzeption von Credit Default Swaps und auf die Hauptbestandteile eines CDSVertrags eingegangen, um im Anschlu zwei weitere Kreditderivate, n mlich den Total Return Swap und die Credit Spread Option darzustellen und diese mit dem CDS zu vergleichen. Folgend werden die Chancen und Grenzen von CDS, die sich durch ihre Nutzung ergeben, erl utert und beschrieben. Abschlie end erfolgt eine Betrachtung der CDS im Rahmen der j ngsten globalen Finanzmarktkrise. Author: Drechsler, Daniel Binding Type: Paperback Number of Pages: 52 Publication Date: 2011/02/16 Language: German Dimensions: 8.27 x 5.83 x 0.12 inches |
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The Indebted Society Credit and Default $293.14 This book is about debt a situation which affects a large and growing number of people. In Britain alone in 1986 more than 2 million people were sued for debt in the county courts. But debt cannot be understood apart from credit, and the 1980s have seen a substantial increase in the amount of credit available. In The Indebted Society Janet Ford gives both an overview of the contemporary credit and debt society and a discussion of the borrowers experience and management of debt. As well as providing a critical examination of the growth and changing structure of credit provision, describing the social and economic base for such growth, and considering explanations for the emergence of default and contemporary attitudes to debt, she also presents a detailed study of forty households with mortgage arrears, placing these personal histories within the broader structure of a credit and debt society. Author: Ford, Janet Binding Type: Paperback Number of Pages: 240 Publication Date: 1988/10/06 Language: English Dimensions: 6.14 x 9.21 x 0.47 inches |
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The VAR Implementation Handbook: Explaining Cross-Sectional Differences in Credit Default Swap Spreads: An Alternative Approach Using Value at Risk $6.95 The following is a chapter from The VaR Implementation Handbook , which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants. |
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An Introduction to Credit Derivatives $83.95 In a relatively short time credit derivatives have grown to become one of the largest and most important segment of the financial markets, with deal volumes now in trillions of dollars. They have become an important tool for banks, financial institutions and corporates who desire greater flexibility in managing their credit risk and economic capital. This book is an accessible introduction to the various types of credit derivative instruments traded in the markets today. All products are described with the help of worked examples and Bloomberg screens, and the reader will be left with a thorough familiarity with the nature of credit risk and credit products generally. Topics covered include: * Credit risk * Unfunded credit derivatives * Funded credit derivatives * Credit default swap pricing * The asset-swap credit default swap basis * Accessible account of major segment of financial markets * Describes instruments and applications * Integrates credit risk with credit derivatives |
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Probability of Default $71.7 High Quality Content by WIKIPEDIA articles Probability of default (PD) is a parameter used in the calculation of economic capital or regulatory capital under Basel II for a banking institution. This is an attribute of a banks client. The probability of default (also call Expected default frequency) is the likelihood that a loan will not be repaid and will fall into default. PD is calculated for each client who has a loan (for wholesale banking) or for a portfolio of clients with similar attributes (for retail banking). The credit history of the counterparty / portfolio and nature of the investment are taken into account to calculate the PD. There are many alternatives for estimating the probability of default. Default probabilities may be estimated from a historical data base of actual defaults using modern techniques like logistic regression. Default probabilities may also be estimated from the observable prices of credit default swaps, bonds, and options on common stock. Author: Surhone, Lambert M./ Tennoe, Mariam T./ Henssonow, Susan F. Binding Type: Paperback Number of Pages: 18 Publication Date: 2010/11/26 Language: English Dimensions: 6.00 x 9.02 x 0.04 inches |
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Universal Default $63.73 High Quality Content by WIKIPEDIA articles High Quality Content by WIKIPEDIA articles Universal default is the term for a practice in the financial services industry in the United States for a particular lender to change the terms of a loan from the normal terms to the default terms (i.e. the terms and rates given to those who have missed payments on a loan) when that lender is informed that their customer has defaulted with another lender, even though the customer has not defaulted with the first lender.This is a phenomenon that dates from the mid1990s. Credit card companies included universal default language in their cardholder agreements at that time, due to increasing deregulation of the industry. Today, approximately half of the banks that issue credit cards have universal default language. However, since the inception of these provisions, most credit card companies have not enforced them regularly or systematically. Author: Surhone, Lambert M./ Tennoe, Mariam T./ Henssonow, Susan F. Binding Type: Paperback Number of Pages: 72 Publication Date: 2011/01/28 Language: English Dimensions: 6.00 x 9.00 x 0.17 inches |
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What Determines U.S. Swap Spreads? $9.99 This title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994–2004. Financial theory depicts swaps as contracts indexed on LIBOR rates, rendered almost free of counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component) and a liquidity convenience premium present in Treasury rates (liquidity component). Multifactor models which were estimated on observed swap rates highlighted the central role played by the liquidity component in explaining swap spread dynamics over the past fifteen years. They also found, however, some puzzling empirical results. Statistical models, on the other hand, mainly based on market analysis, faced technical difficulties, arising from the presence of regime changes, the non-stationarity in swap spreads, and the co-existence of long-term and shorter-term determinants. Against this background, the authors applied the error correction methodology based on the concept of cointegration. They find that U.S. dollar swap spreads and the supply of U.S. Treasury bonds are cointegrated, suggesting that the Treasury supply is a key determinant on a long-term horizon. They then estimate an error correction model which integrates this long-term relationship with the influence of four shorter-term determinants: the AA spread, the repo rate, the difference between on-the-run and off-the-run yields, and the duration of mortgage backed securities. The error correction model fits observed swap spreads quite well over the sample period. The authors then illustrate how the same model can be used to carry out scenario analysis. |
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The Indebted Society: Credit and Default in the 1980s $179.4 No Synopsis Available |
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Credit Risk Modeling $100 Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations. |
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