This book builds on the strength of the first edition published in 1998 (pedagogical approach, comprehensive view on market developments, analysis of real transactions, impact of credit derivatives for banks and financial regulation) and presents up-to-date information and analysis on the latest developments in the market. New topics include: updated analysis of credit risk, including analysis of the recent wave of defaults second generation structured products (first-to-default, index-linked credit derivates) latest developments in the collateralized debt obligations market (arbitrage-driven structures, including CDOs of CDOs) updated overview of pricing models (structural and intensity-based models, default correlation) credit derivatives and financial regulation (Basel II, instability of financial markets).
Book Details:
- Author: Richard Bruyere
- ISBN: 9780470018798
- Year Published: 2006
- Pages: 294
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
This book builds on the strength of the first edition published in 1998 (pedagogical approach, comprehensive view on market developments, analysis of real transactions, impact of credit derivatives for banks and financial regulation) and presents up-to-date information and analysis on the latest developments in the market. New topics include: updated analysis of credit risk, including analysis of the recent wave of defaults second generation structured products (first-to-default, index-linked credit derivates) latest developments in the collateralized debt obligations market (arbitrage-driven structures, including CDOs of CDOs) updated overview of pricing models (structural and intensity-based models, default correlation) credit derivatives and financial regulation (Basel II, instability of financial markets).
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. As the subject of credit derivatives is currently going mainstream, there is an opportunity for a more general book, which not only deals with products and pricing issues but also enables readers to understand the drivers behind the rise of credit derivatives and the implications of this fundamental evolution of financial markets.
Presents a comprehensive scope of topics related to credit derivatives Includes real transaction examples and first-hand insight from practitioners Aimed at a wider audience that needs to understand credit derivatives
About the Author
Richard Bruyere Former credit derivatives professional (marketing, trading and structuring) with SG and CSFB. Currently partner with Advention Business Partners (strategy consulting) and Finance Concepts (risk management consulting). Together with: Rama Cont: research scientist in applied mathematics at Ecole Polytechnique and founding partner of Finance Concepts. Extensive teaching experience (HEC, Princeton University) as well as training courses for finance professionals and consulting for financial institutions. Co-author of Financial Modelling with Jump Processes (CRC Press, 2003) and associate editor of Quantitative Finance. Regis Copinot: Head of Credit Training in Europe for SG Corporate and Investment Banking and previously Global Head of Credit Derivatives trading at ABN Amro London. Loïc Fery: MD in the Capital Markets Division of CALYON. Global Head of Structured Credit, Derivatives and CDO Structuring. Ran Asian Credit Derivatives desk for CAI and previously for SG. Christophe Jaeck: Credit structurer at SG Corporate and Investment Banking (London), widely recognized as an expert in credit derivatives and synthetic structures. Thomas Spitz: Global Head of Structured Credit Position Management for CALYON, responsible for the global risk management of the Structured Credit trading books. After three years at SG as a credit derivatives trader, he joined Credit Agricole Indosuez in June 2001 as Head of CDS Trading for Europe and the US.