Credit derivatives have been instrumental in the recent increase in
securitization activity. The complex nature and the size of the
market have given rise to very complex counterparty credit risks.
The Lehman failure has shown that these issues can paralyse the
financial markets, and the need for detailed understanding has
never been greater.
" "
"The Art of Credit Derivatives" shows practitioners how to put a
framework in place which will support the securitization activity.
By showing the models that support this activity and linking them
with very practical examples, the authors show why a mind-shift
within the quant community is needed - a move from simple modeling
to a more hands on mindset where the modeler understands the
trading implicitly.
The book has been written in five parts, covering the modeling
framework; single name corporate credit derivatives; multi name
corporate credit derivatives; asset backed securities and dynamic
credit portfolio management.
Coverage includes: groundbreaking solutions to the inherent
risks associated with investing in securitization instrumentshow to
use the standardized credit indices as the most appropriate
instruments in price discovery processes and why these indices are
the essential tools for short term credit portfolio managementwhy
the dynamics of systemic correlation and the standardised credit
indices are linked with leverage, and consequently the implications
for liquidity and solvability of financial institutionshow Levy
processes and long term memory processes are related to the
understanding of economic activitywhy regulatory capital should be
portfolio dependant and how to use stress tests and scenario
analysis to model thishow to put structured products in a mark-to
market-environment, increasing transparency for accounting and
compliance.
This book will be invaluable reading for Credit Analysts,
Quantitative Analysts, Credit Portfolio Managers, Academics and
anyone interested in these complex yet important markets.
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