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The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision.
Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance.
List of contents
1. Credit Risk
2. Credit Derivative Instruments: Part I
3. Credit Derivative Instruments: Part II
4. Credit Derivative Instruments: Part III
5. Credit Derivatives Pricing and Valuation
6. Credit Default Swap Pricing
7. The Asset Swap-Credit Default Swap Basis
About the author
Moorad Choudhry is a vice president in structured finance services with JPMorgan Chase Bank in London. Prior to this, he worked as a government bond trader and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad is a Fellow of the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management.
Report
"An excellent, high-quality account of one of the most important areas of the debt capital and corporate credit markets today." --Didier Joannas, SunGard, Hong Kong
"The rapid growth of the credit derivatives markets has been accompanied by similar output in the related literature. For clarity, accessibility, relevance and detail, this is easily the best addition to this literature." --Abukar Ali, Bloomberg L.P.
