World Famous Comics: Credit Derivatives: CDOs and Structured Credit Products (Wiley Finance)
Credit Derivatives: CDOs and Structured Credit Products (Wiley Finance)
By: Satyajit Das Publisher: Wiley Average Rating: Binding: Hardcover Label: Wiley Number of Items: 1 Number of Pages: 850 Publication Date: May 09, 2005
Product Description: The Third Edition of Credit Derivatives is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions.
Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format -- all chapters have been written by the author, Satyajit Das.
Key areas of new and enhanced coverage include:
Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations).
Description of developments in structured credit products, including portfolio products, up-front credit default swaps, quanto credit default swaps, credit swaptions, zero recovery credit default swaps, first-to-default swaps/ Nth –to-default swaps, and many more.
Increased coverage of credit linked notes including repackaging structures.
Detailed discussion of the collateralized debt obligations (CDO) market, including CDO structures, pricing and valuation, rating methodology, CDO variations, single tranche CDOs, hedging of CDO tranches, behavior of CDO tranche (equity, mezzanine, senior and super senior) investments.
Increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior.
Coverage of E2C (equity to credit) hedging.
Detailed examples of applications of credit derivatives by different market participants.
Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades.
Updated coverage of regulatory framework for credit derivatives.
Updated discussion of market structures, developments and prospects.
Pedantic Tome Avoid spending your hard earned money and go to Janet M. Tavakoli's book.
Should be rewritten, in English.
avoid these instruments and this book When this book came out just a few years ago, CDOs were all the rage, along with the other financial derivative instruments analysed here. Indeed, the analysis is thorough. You get to understand how each instrument is made, and how to model its risk.
But much has changed since the book appeared. Now there has been 2 years of a falling real estate market in the US. Which has revealed flaws in the book's instruments. The chapters on simulations and modelling of the time behaviour should be read with sceptical and jaundiced eye. Just last week, the US Fed took over Fannie and Ginnie Mae. While today, Lehman filed for bankruptcy and Merril Lynch agreed to be taken over by BofA. One major common factor in all these travails were the credit derivatives so carefully explained by the book.
Anything Goes Trivia
Megaton Man
Trevor
