Understanding credit derivatives and related instruments / Antulio N. Bomfim.
Material type:
TextSeries: Academic Press advanced finance seriesPublisher: Amsterdam : Elsevier Academic Press, [2005]Copyright date: ©2005Description: xiv, 339 pages : illustrations ; 24 cmContent type: - text
- unmediated
- volume
- 0121082652
- 9780121082659
- 332.6457 22
- HG6024.A3 B66 2005
| Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|
| Book | City Campus City Campus Main Collection | 332.6457 BOM (Browse shelf(Opens below)) | 1 | Available | A264272B |
Browsing City Campus shelves, Shelving location: City Campus Main Collection Close shelf browser (Hides shelf browser)
| 332.64530151924 VAN Binomial models in finance / | 332.6453015193 SMI Strategic investment : real options and games / | 332.6457 ALB Advanced derivatives pricing and risk management : theory, tools and hands-on programming application / | 332.6457 BOM Understanding credit derivatives and related instruments / | 332.6457 CHA Analysis of derivatives for the CFA program / | 332.6457 CHA Essays in derivatives : risk-transfer tools and topics made easy / | 332.6457 CHA An introduction to derivatives and risk management / |
Includes bibliographical references (pages 325-330) and index.
1. Credit derivatives : a brief overview -- 2. The credit derivatives market -- 3. Main uses of credit derivatives -- 4. Floating-rate notes -- 5. Asset swaps -- 6. Credit default swaps -- 7. Total return swaps -- 8. Spread and bond options -- 9. Basket default swaps -- 10. Portfolio default swaps -- 11. Principal-protected structures -- 12. Credit-linked notes -- 13. Repackaging vehicles -- 14. Synthetic CDOs -- 15. Valuing defaultable bonds -- 16. The credit curve -- 17. Main credit modeling approaches -- 18. Valuing credit options -- 19. The basics of portfolio credit risk -- 20. Valuing basket default swaps -- 21. Valuing portfolio swaps and CDOs -- 22. A quick tour of commercial models -- 23. Modeling counterparty credit risk -- 24. Anatomy of a CDS transaction -- 25. A primer on bank regulatory issues -- App. A. Basic concepts from bond math -- App. B. Basic concepts from statistics.
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