Understanding Credit Derivatives and Related Instruments

ISBN: 9780128001165 出版年：2015 页码：421 Bomfim, Antulio N Academic Press_RM

1 Credit Derivatives: A Brief Overview 2 The Credit Derivatives Market 3 Main Uses of Credit Derivatives 4 Floating-Rate Notes 5 Asset Swaps 6 Credit Default Swaps 7 Total Return Swaps 8 Spread and Bond Options 9 Basket Default Swaps 10 Portfolio Default Swaps 11 Principal-Protected Structures 12 Credit-Linked Notes 13 Repackaging Vehicles 14 Synthetic CDOs 15 Valuing Defaultable Bonds 16 The Credit Curve 17 Main Credit Modeling Approaches 18 Valuing of Credit Options 19 The Basics of Portfolio Credit Risk 20 Valuing Basket Default Swaps 21 Valuing Portfolio Swaps and CDOs 22 A Quick Tour of Commercial Models 23 Modeling Counterparty Credit Risk 24 Anatomy of a CDS Transaction 25 A Primer on Bank Regulatory Issues Appendix A Basic Concepts from Bond Math Appendix B Basic Concepts from Statistics