Mastering credit derivatives : a step-by-step guide to credit derivatives and structured credit /
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Harlow, England :
Financial Times/Prentice Hall,
2008.
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| Edition: | 2nd ed. |
| Subjects: |
Table of Contents:
- Introduction
- Credit derivative instruments and applications
- Pricing a CDS and the cash bond definition
- Credit derivative documentation and regulations
- Tranched indices
- What is correlation?
- First-to-default (FTD) baskets
- Cash CDOs
- Synthetic CDOs
- Understanding tranche sensitivity
- Innovation, the credit crisis and the future.