Credit Derivatives and Credit Linked Notes
Credit derivatives have emerged as a significant area in global derivatives and risk management practice. Credit Derivatives and Credit Linked Notes clearly explains how to structure and apply these products to solve risk management problems as well as how to price and value these instruments. It reflects the rapid evolution in the market and provides additional insight that readers will find beneficial.
The book includes:
- Coverage of all major credit derivative structures including credit derivatives, credit-linked notes, repackaging structures, and portfolio securitization
- Examples of applications: Pricing approaches and models as well as credit portfolio management
- Regulatory framework for credit derivatives: Documentation, accounting and taxation of credit derivative structures
- Implications of credit derivatives for banking and credit management generally