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Counterparty Credit Risk: The new challenge for global financial markets (The Wiley Finance Series)
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DescriptionThe first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac... |
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Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (v. 53)
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DescriptionFrom the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [... |
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Bond Markets, Analysis, and Strategies (7th Edition)
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DescriptionLearn how to assess and invest in bonds with this best-selling text. Fabozzi's Bond Markets is the most applied book on the market. It prepares students to analyze the bond market and manage bond portfolios without getting bogged down in the theory... |
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Credit Derivative Pricing Methods (Hardcover) $48.42 Description not available. |
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Your Options Handbook: The Practical Reference and Strategy Guide to Trading Options $34.5 Before you trade derivatives, you need to know where they derive their prices from. In Your Options Handbook, you will learn the mechanics of the market and how to profit from trading options. The book is a straightforward and practical explanat... |
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Credit Derivatives Pricing Models $130 The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation. |
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Credit Derivatives $69.99 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. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management. |
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Credit Derivatives and Structured Credit $110 Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps – the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include::; Written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market; A clearly-written, pedagogical book with numerous illustrations; Detailed review of real-case transactions; A comprehensive historical perspective on market developments including up-to-date analysis of the latest trends |
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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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Credit Derivatives Pricing Models: Models, Pricing and Implementation $85.19 No Synopsis Available |
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Credit Derivatives Handbook $95 The world’s leading financial thinkers share their insights into the latest developments in credit derivatives. In The Credit Derivatives Handbook , some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds. You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as: Key products, applications, and typical trades, hedging and credit structuring; Pricing of credit default swaps and synthetic CDOs; Design of synthetic CDOs; Copula models, with illustrative examples; Credit derivatives in investment portfolios; Opportunities for structuring credit derivatives in accordance with Islamic finance. Comprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider “one of the most important financial innovations of recent times.” |
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Applications of Credit Derivatives $55.47 Hauptbeschreibung This study begins with a general introduction to the credit derivatives market and gives arguments for the growth catalysts which have driven the development to the current state. The financial participants in this market are presented as well. A comparison between market risk and credit risk follows to show the clear transition that helped credit risk to become an asset class. After that, a link to the recent Basel II guidelines is established in order to show the policies that banks have to consider when trading with credit risk. Chapter 2 deals with the historical evolution of credit derivatives and classifies different structures. A presentation of the main types of credit derivatives and their contract elements follow; these are mainly credit default swaps (CDS) and collaterized debt obligations (CDO). Chapter 2 also deals with definitions of a credit event and the calculation of risk premiums. Forms of default payment illustrate the possible settlement of a credit derivative contract. Afterwards, an account of the International Swaps and Derivatives Association (ISDA) is presented. This association serves as a supplier of standardized documentation to all market participants and facilitates transactions. Chapter 3 is the key element of this thesis and shows the applications of credit derivatives: they serve as portfolio diversifiers for asset managers, hedging instruments for banks or corporations and offer arbitrage possibilities for hedge funds and other institutions that monitor mispricings in bond and credit markets. This part delivers essential information for the final evaluation of such instruments from a practical point of view in Chapter 5. In Chapter 4, the thesis covers the most important pricing tools for credit derivatives. Three generally accepted and widely used models are presented and evaluated concerning their suitability for various parties. These models vary greatly. Recently, a German governmental organization has set a standard evaluation system in place; whereas multinational investment banks form their own capacities in house or through joint ventures. An efficient valuation system gives market participants a major competitive advantage because they can observe default probabilities on an ongoing basis under changing market conditions. Chapter 5 deals with an evaluation of credit derivatives from a practical point of view and discusses the opportunities and risks involved in credit derivatives. The author concludes with a critical evaluation about the role and responsibility of regulators in this market and a view on the current situation of the global credit markets. Biographische Informationen Harald Seemann, Diplom-Betriebswirt (FH), 2007 Graduate in European Business Studies at the University of Applied Sciences in Regensburg, Germany. Currently, Mr. Seemann lives in Toronto, Canada and works in the financial services industry. |
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Understanding Credit Derivatives and Related Instruments $89.95 Understanding Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models. * Offers a broad overview of this growing field * Discusses all the main types of credit derivatives * Provides back-of-the-book summary of statistics and fixed-income mathematics |
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Modelling Single-Name and Multi-Name Credit Derivatives $104.53 Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a |
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An Introduction to Credit Derivatives (Hardcover) $160.76 This introduction to credit derivatives and their markets provides a practitioner`s perspective on products and the risks they involve. Expanded and updated to cover crisis-related developments, it employs a succinct style without sacrificing technical details and scientific precision. Its liberal use of Bloomberg screens and new worked examples increase its hands-on practicality, and its new online set of CDS pricing models and other worksheets multiply its uses. The only book that captures the rapidly changing dynamics of the credit derivatives market, "An Introduction to Credit Derivatives" combines qualitative and quantitative content unavailable elsewhere.Presents products, risks, and markets in terms that emphasize intuition and without losing scientific accuracyAugments its practical and pedagogical value by means of updated quantitative and qualitative materialsDistinguishes itself from other books by serving as the only useful starting point for students and practitioners |
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Pricing Interest-Rate Derivatives $119 Pricing Interest-Rate Derivatives |
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Modelling Single-name and Multi-name Credit Derivatives $140 Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs. |
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Pricing of Derivatives on Mean-Reverting Assets $89.95 Pricing of Derivatives on Mean-Reverting Assets |
MarketMinder: "Freer + Butter = Better" by MarketMinder Editorial Staff
Freer + Butter = Better
April 7, 2010
We don't often think much of Washington's "bright" ideas, but clearing houses could be a good thing for some credit derivatives markets.
Story Highlights:
>>The Federal Housing Finance Agency will likely require Fannie Mae and Freddie Mac use a clearing house for interest rate swaps by year end.
>>Acting as middle man, a central clearing house wouldn't carry much downside risk, while potentially increasing transparency.
>>This is just one of many regulatory proposals floating around Washington-the net effect of which remains to be seen.
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The Federal Housing Finance Agency (FHFA), in charge of regulating housing giants Fannie Mae and Freddie Mac, will likely require the use of a clearing house for interest rate swaps by year end. This is the latest in Washington's crystallizing regulatory response to the financial crisis-but with Greece in the headlines again, it didn't get much play. (Despite increased Greek debt uncertainty and spiking sovereign yields, global markets mostly yawned.)
As per usual after a crisis, there's been finger pointing, grand standing, and regret shunning galore. Regular readers will have gathered we don't often think much of Washington's "bright" ideas. And they might expect us to recoil at this one too. Certainly, the issue of derivatives regulation is (and will continue to be) cast starkly in black and white-with the industry and a few in the Beltway decrying virtually any new regulation as anti-free markets, while others can't believe that, as responsible adults, we aren't going further.
For those waiting to catch us agreeing with the feds-or, maybe more like projecting cautious optimism-this is your chance. Almost always, freer is better. But sometimes, a few simple, rational (unchanging) rules of the road can help butter the skids. A central clearing house wouldn't carry much downside risk of roiling markets, while potentially increasing transparency-and more transparency is always good. The same goes more generally for similar regulatory proposals in other markets like credit default swaps.
First things first. Just what is a clearing house? A middle man for financial transactions. Banks or securities firms sign up as members, and the clearing house handles all trade execution and settlement. Commercial banks have used clearing houses to clear and settle checks from other banks for ages. In fact, in the Panic of 1907, it was the non-clearing house trust companies (like Knickerbocker) that were in the greatest danger of failing. Since then, stocks and certain derivatives have adopted the concept-most dramatically when the late sixties paper crunch overwhelmed Wall Street back offices and forced a slew of systemic changes.
Not all financial instruments need clearing houses and exchanges. Many are so obscure and thinly traded, the over-the-counter market is perfectly suited for them. But if a market grows as fast as credit derivatives have in recent years, it only makes sense to update the system-the huge interest rate swap market seems to be a good candidate.
Fannie and Freddie don't make the market, but they are notable forces. The two housing behemoths hedge their massive mortgage portfolios against sudden interest rate changes by swapping variable rates for fixed rates. Currently, most of the deals are done over-the-counter, arranged by big banks like Goldman Sachs or JP Morgan. Setting up a central clearing house and requiring Fannie and Freddie to use it could lure others to sign up, if everything is in working order.
But a clearing house is not the same as listing on a public exchange. For now, interest rate swaps would still trade over-the-counter (directly between member firms, with the clearing house facilitating). So how would it boost transparency? Currently, trades are disconnected, taking place directly from firm to firm. On a daily basis, no one knows exactly what transactions took place (like so many ships in the night). But with a clearing house winding together all the separate strands, no trade would go unnoticed. So, at the least, the market would have a central repository of trade and pricing data. Further, clearing houses usually require counterparties post collateral on a daily basis-insuring sudden changes in the market don't take the whole system by surprise. (An added benefit of centralization many argue would have prevented some panic during the financial crisis.)
For the bigger over-the-counter derivatives markets, clearing houses or even public exchanges, could make the financial system more transparent and a little stronger. But just how all this regulation plays out remains to be seen. As you score the debate, try and remember: Sometimes, freer + a little butter = better.
Disclaimer: This article reflects personal viewpoints of the author and is not a description of advisory services by its author's employer or performance of its clients. Such viewpoints may change at any time without notice. Nothing herein constitutes investment advice or a recommendation to buy or sell any security or that any security, portfolio, transaction or strategy is suitable for any specific person. Investments in securities involve the risk of loss. Past performance is no guarantee of future results.
About the Author
MarketMinder Editorial Staff
Investment Banking and Structured Finance - 01/16 - Essentials of securitizations deals types