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Credit Derivatives, Revised Edition: A Primer on Credit Risk, Modeling, and Instruments, 2nd Edition

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Credit Derivatives, Revised Edition: A Primer on Credit Risk, Modeling, and Instruments, 2nd Edition

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  • Your Price: $55.99
  • List Price: $69.99
  • Includes EPUB, MOBI, and PDF
  • About eBook Formats
  • This eBook includes the following formats, accessible from your Account page after purchase:

    ePub EPUB The open industry format known for its reflowable content and usability on supported mobile devices.

    MOBI MOBI The eBook format compatible with the Amazon Kindle and Amazon Kindle applications.

    Adobe Reader PDF The popular standard, used most often with the free Adobe® Reader® software.

    This eBook requires no passwords or activation to read. We customize your eBook by discreetly watermarking it with your name, making it uniquely yours.

About

Features

The only up-to-date guide to credit derivatives for real-world practitioners and students 

  • Now fully updated to reflect today’s instruments, rules, and practices
  • Explains today’s credit risk markets clearly and simply: ideal for working professionals who may not have direct experience with these markets
  • Covers credit risk modeling, credit default swaps, collateralized debt obligations, and more

Description

  • Copyright 2016
  • Dimensions: 6" x 9"
  • Pages: 304
  • Edition: 2nd
  • Book
  • ISBN-10: 0-13-324918-2
  • ISBN-13: 978-0-13-324918-7

Every company faces credit risk. Credit derivatives are among the most powerful tools available for managing it. Once restricted to the financial industry, they are now widely used by businesses of all kinds—and all financial professionals need to understand them. Credit Derivatives, Revised Edition, explains these tools simply, clearly, and rigorously: what they do, how they work, and how to use them in today’s applications.

The authors first show how credit risk can be measured and valued. They explain key ideas, such as recovery rates and credit spreads, and show how derivatives transfer credit risk to external investors. Next, they systematically demonstrate how credit risk models can describe and predict credit risk events. They cover structural models, including Merton and Black and Cox; empirical models, such as the Z-score model; and reduced-form models, such as Jarrow-Turnbull. The authors also present detailed explanations of two widely used instruments: credit default swaps (CDSs) and collateralized debt obligations (CDOs).

Finally, building on what you’ve learned, the authors offer a brand-new primer on today’s applications for financial instruments with embedded credit risk.

FINANCIAL STATEMENT ANALYSIS
Perform preliminary financial analysis on any potential project

UNDERSTAND, MEASURE, AND ASSESS CREDIT RISK
Master core concepts, from credit spreads to default probabilities

MASTER POWERFUL CREDIT RISK MODELING APPROACHES
Learn structural, empirical, and reduced-form credit risk modeling

GAIN DEEP INSIGHT INTO TODAY’S INSTRUMENTS AND APPLICATIONS
Understand CDSs, CDOs, and how credit-sensitive products are now used

FOR EVERY FINANCIAL PRACTITIONER: BUY-SIDE AND SELL-SIDE
For CFOs, treasurers, and other practitioners—everywhere from pension funds to commercial corporations

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Table of Contents

Part I: What Is Credit Risk?     1
1 Introduction    3
2 About Credit Risk    9
Part II: Credit Risk Modeling     61
3 Modeling Credit Risk: Structural Approach     63
4 Modeling Credit Risk: Alternative Approaches     123
Part III: Typical Credit Derivatives     149
5 Credit Default Swaps    151
6 Collateralized Debt Obligations     197
7 Applications of Credit Derivatives and Financial Engineering     255
Index      283

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