Structured Credit Products: Credit Derivatives and Synthetic Securitisation, 2nd Edition

Contents

Foreword: Professor Darrell Duffie, Stanford University

Preface

Acknowledgements

About the Author

Prologue: The 2007–2008 Credit and Liquidity Crunch: Impact on Structured Credit Markets

Part I: Credit Risk and Credit Derivative Instruments

Chapter 1: Credit Risk

Corporate Default

Credit Risk

Credit Ratings

Formal Credit Ratings

Ratings Changes Over Time

Value-At-Risk (VAR)

Explaining Value-At-Risk

Variance–Covariance Value-At-Risk

Credit Value-At-Risk

Creditmetrics™

Reference

Chapter 2: Credit Derivatives I: Unfunded Instruments

Market Volumes

Credit Risk and Credit Derivatives

Credit Derivative Instruments

Credit Default Swaps

Technical Features of CDS

Basket Default Swaps

Quanto Default Swaps

Structured Finance Security CDS

Asset Swaps

Total Return Swaps

Credit Options and Credit Spread Options

The CDS Itraxx Index

Bloomberg Screens

Settlement

Issues With The Settlement Mechanism

Risks In Credit Default Swaps

Impact of The 2007–08 Credit Crunch: New CDS Contracts and The CDS ‘Big Bang’

Quick Cds Calculator

CDS Index Screens

Appendix 2.1 ISDA 2003 Credit Derivative Definitions

Appendix 2.2 CDS Term Sheet

Appendix 2.3 Total Return Swap and Repo

Appendix 2.4 Basel Regulatory Capital Treatment and Credit Derivatives

Appendix 2.5 Market-Implied Timing of Default From CDS Prices

Reference

Chapter 3: Credit Derivatives II: Funded Instruments

Credit-Linked Notes

Clns and Structured Products

Principal Protected Structures

Funded Total Return Swap

The Portfolio CLN

Static Portfolio ...