Read more
Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them.
The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics.
Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book.
List of contents
I - Credit Derivatives: Definitions, Market, Uses (3 chapters)
II - Main Types of Credit Derivatives (13 chapters)
III - Introduction to Credit Modeling I: Single Name Defaults (4 chapters)
IV: Introduction to Credit Modeling II: Portfolio Credit Risk (5 chapters)
V - A Brief Overview of Documentation and Regulatory Issues (2 chapters)
VI Hedging and Trading Credit Default Swaps (3 chapters)
About the author
Antulio N. Bomfim Senior Managing Director and Co-Head of Monetary Policy Insights at Macroeconomic Advisers, LLC. He received his M.A. and Ph.D. inEconomics at the University of Maryland and his M.Sc.in Mathematical Finance at the University of Oxford.
Report
"This is a great place to start if you want to learn how credit derivatives work and why they are used. The book also provides a highly accessible introduction to credit risk modeling. I warmly recommend it." --David Lando, Copenhagen Business School
"This book is quite an achievement. It provides a wealth of institutional detail, covers the practicals behind an extensive menu of instruments, discusses the regulatory environment and puts together a comprehensive valuation and risk measurement tool kit. This kind of coverage would often require referencing two, if not three, separate publications." --Jan Ericsson, McGill University
