Description - Credit Derivatives by Satyajit Das
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.
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