A step-by-step guide to credit derivatives and their application.
Mastering Credit Derivatives provides comprehensive coverage of this rapidly growing market. It will give you a clear understanding of what credit derivatives are, as well as explaining their benefits and risks.
In this fully revised and updated edition, Andrew Kasapis approaches the derivatives market from a practical basis, using examples of real market data and trades. He includes ideas and comments from market practitioners who offer valuable insights as to the likely direction the industry will take.
The book includes chapters on:
An assessment of the sub-prime crisis and how it has affected derivatives
Available derivative products and how they are applied
How best to value credit and how to price and risk-manage derivatives
An explanation of traunched indices and first-to-default baskets
Recently introduced products such as collateral synthetic obligations (CSOs) and collaterised debt obligations (CDOs)
Mastering Credit Derivatives is an invaluable guide that will help you to understand credit derivatives and apply them to your market place.