An Introduction to Credit Derivatives

Moorad Choudhry and Moorad Choudhry
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Moorad Choudhry: Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.
Moorad Choudhry: Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: 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

Keywords: credit risk; bond; market; cash settlement; portfolio; total return swap; equity default swap (search for similar items in EconPapers)
Date: 2004 Originally published 2004-06-08.
Edition: 1
ISBN: 978-0-7506-6262-8
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