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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
Autorentext
RICHARD BRUYERE, a partner of Finance Concepts (capital markets and risk management consulting), is a former credit derivatives professional with experience in marketing, trading and structuring credit derivatives with SG and Credit Suisse First Boston. He is the author of Produits drivs de crdit (Economical: 1998, 2004).
RAMA CONT is a research scientist at Centre de Mathématiques Appliques, Ecole Polytechnique (France) and founding partner of Finance Concepts. He is the author of several research articles in quantitative finance and co-author of Financial modelling with jump processes (CRC Press, 2003) and Produits drivs de crdit (Economica: 2004).
RGIS COPINOT is a Managing Director in Socite Gnrales Credit trading department specialist in non-investment grade credits. He has worked on derivatives products since 1992 in the London markets first in the field of Commodities Options (1992) later in Interest Rates Options (1994) and since 1998 in Credit Derivatives. Rgis Copinot is graduated from Ecole Centrale Paris. He is a co-author of Produits drivs de crdit (Economica: 2004).
LOC FERY is managing director in the Capital Markets division of Calyon. He is in charge of the global Structured Credit & CDO product-line, which includes correlation trading, as well as Cash and Synthetic CDO structuring. Loc Fery is graduated from HEC (Paris).
CHRISTOPHE JAECK joined Socit Gnrale credit derivatives department in 1998. In charge of structured operations on balance sheet management (synthetic CLOs) until 2001, he is now Head of synthetic CDOs activity development in Europe. Christophe Jaeck is a graduate from ENSAE.
THOMAS SPITZ began his career in Socit Gnrale as a credit derivatives trader. He joined Crdit Agricole Indosuez in 2001 as Head of Credit derivatives trading both on Europe and the United States. Since 2004, in Calyon, he is the Head of Trading and Risk Management team for the Structured Credit, Deivatives & CDO Group. Thomas Spitz is a graduate from ENSAE.
Klappentext
Credit derivatives and structured credit A Guide for Investors
Richard Bruyere with Rama Cont, Rgis Copinot, Loc Fery, Christophe Jaeck and Thomas Spitz
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:
Zusammenfassung
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:
Inhalt
Foreword.
Introduction.
1 Credit Risk and the Emergence of Credit Derivatives.
1.1 Credit Risk.
1.1.1 Definition and Typology of Credit Risk.
1.1.2 Characteristics of Credit Risk.
1.1.3 The Importance of Credit Risk in Capital Markets.
1.2 Assessment and Measurements of Credit Risk.
1.2.1 Bank Capital Adequacy Standards (Basel I).
1.2.2 Credit Risk Analyzed by Rating Agencies.
1.2.3 Credit Risk Measured in the Financial Markets: Credit Spread.
1.3 Traditional Methods of Credit Risk Management and the Emergence of Credit Derivatives.
1.3.1 Traditional Methods for Managing Credit Risk (Issuer Risk).
1.3.2 Counterparty Risk Management in Derivatives Markets.
1.3.3 Emergence and Advantages of Credit Derivatives.
**2 Typology of Credit Derivatives…