Examines credit risk, how it is measured and managed, single and multi-name credit derivatives, CDSs and other credit derivatives products.
Introduction
From the Editors of Derivatives Week, this practical text answers:
What is credit risk? How is it measured, managed and transferred around the market?
What are single and multi-name credit derivatives, CDSs and other credit derivative products? How do these credit transfer instruments work? How are they valued?
What are the techniques and rating for securitizations and synthetic securitizations?
How do you evaluate the risk of loss?
How are credit derivatives rated?
What is the regulatory environment for these products?
How are credit derivatives and securitizations treated under Basle II?
With a complete glossary.
Appendices include:
measurement of expected and unexpected losses
comparable characteristics of credit transfer instruments - single and multi-name credit derivatives
sample CDS term sheet and confirmation
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