Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers

Part One: Innovations in Credit Derivatives

1.The Changing Face of Default Swaps

2. Islamic Credit derivatives

3. Credit Derivatives and the Resolution of Financial Distress

4. Asymmetric Information and Opacity in Credit Derivatives Markets

Part Two: Price Credit Default Swaps

5. Pricing Credit Derivatives with a Copula-Based Actuarial Model for Credit Risk

6. Alternative Implementation methods for CDS Pricing

7. A Unified Approach to the Theory of Default Risk & Credit Derivatives

8. Investigating Some Link between Credit Default Swap Spreads & US Financial Markets

Part Three: Design & Pricing of CDOs

9. On the design of CDOs: Bundling or Separation?

10. On the Pricing of CDOs

11. Pricing Forward Starting CDOs using Dynamic Copula Processes

12. Idiosyncratic and Systematic Risk in the European Corporate Sector

13. Default Configuration in large Homogeneous Portfolios

Part Four: Asset Allocation and Credit Derivatives

14. Hedge Funds and the Global Market for Credit Derivatives

15. An Asset Allocation Problem with Credit Derivatives

16. Funds of CDO Tranches: Risk Management and Pricing Methodologies

The world’s leading financial thinkers share their insights into the latest developments in credit derivatives

In The Credit Derivatives Handbook, some of the world's sharpest financial and legal minds come together to discuss how credit derivatives have evolved from tools restricted to the banking industry into flexible and customizable instruments used by investors of all kinds.

You will come away with the knowledge and insight needed to measure and value risk, as well as the ability to put credit derivatives to work. Over fifteen contributors provide in-depth analyses of subjects in their respective areas of expertise, such as:

• Key products, applications, and typical trades, hedging and credit structuring
• Pricing of credit default swaps and synthetic CDOs
• Design of synthetic CDOs
• Copula models, with illustrative examples
• Credit derivatives in investment portfolios
• Opportunities for structuring credit derivatives in accordance with Islamic finance

Comprehensive in scope but executed in meticulous detail, The Credit Derivatives Handbook provides a complete, global perspective of what the editors consider “one of the most important financial innovations of recent times.”