Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing

Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing

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Table of Contents

Preface.

About the Authors.

Chapter 1. Introduction.

Chapter 2. Types of Credit Risk.

Chapter 3. Credit Default Swaps.

Chapter 4. Asset Swaps and the Credit Default Swap Basis.

Chapter 5. Total Return Swaps.

Chapter 6. Credit-Linked Notes.

Chapter 7. Synthetic Collateralized Debt Obligation Structures. Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing

Chapter 8. Credit Risk Modeling: Structural Models.

Chapter 9. Credit Risk Modeling: Reduced Form Models.

Chapter 10. Pricing of Credit Default Swaps.

Chapter 11. Options and Forwards on Credit-Related Spread Products.

Chapter 12. Accounting for Credit Derivatives.

Chapter 13. Taxation of Credit Derivatives.

Index.

Author Information

MARK J.P. ANSON, PhD, CFA, is the Chief Investment Officer at CalPERS and is a frequent contributor to academic and professional publications on the topics of risk management, derivatives, and portfolio management. Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing

FRANK J. FABOZZI, PhD, CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, a Fellow of the International Center for Finance at Yale University, and Editor of the Journal of Portfolio Management.

MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products UK Limited, and a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.

REN-RAW CHEN, PhD, is an Associate Professor of Finance at Rutgers University School of Business (New Brunswick), a frequent contributor to major academic finance journals, and a speaker at many academic conferences. Mark J.P.Anson, Frank J.Fabozzi – Credit Derivates Instruments Applications & Pricing