GARP Digital Library

  0
 


Books/Articles BY

 
Credit Derivatives and Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition

 
 
 


Chapter 2

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
2
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.50
 
Affiliate & Non-Member:            US$$7.00

Topics Covered:

Credit risk, credit derivatives, total rate of return swaps (TRORS), motivation of TRORS receiver/payer, TRORS and regulatory capital, counterparty risk, market risk, specific risk, synthetic assets, mismatched maturities, tranched asset swaps, funding arbitrage, joint probability of default, balance sheet management, relative performance TRORS, loan TRORS, hedge funds and TRORS, leverage, credit exposure, conditional probability of default, value at risk, volatility,





Chapter 3

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
3
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$6.50

Topics Covered:

Credit risk, single-name credit derivatives, credit default swap, notional amount, default event, plain vanilla credit default swap, credit default swap term sheet, default protection seller, defining the default event, sovereign credit default language, basis risk, materiality, price adjustments, substitution, termination payments, digital cash payment, par minus post-default price method, initial price minus post-default price method, normalized price minus post-default price method, pricing credit default swaps, expected loss, default probability, recovery rate, loss exposure, funding cost arbitrage





Chapter 4

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
4
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.50
 
Affiliate & Non-Member:            US$$7.00

Topics Covered:

Credit risk, market risk, asset swap switches, asset swap swap, knock-in options, credit spread options, credit spread forwards, credit spread swaps, balance sheet swaps, callable step-ups, regulatory capital requirements, synthetic lending facilities (SLF), synthetic credit facilities (SCF), credit-linked note term sheet, basis risk, cash redemption amount, basket credit default swaps, basket credit default swap term sheet, pricing basket credit default swaps, unexpected loss, knock-in basket options, pro rata default structures





Chapter 5

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
5
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.50
 
Affiliate & Non-Member:            US$$7.00

Topics Covered:

Credit risk, sovereign risk, emerging markets, Brady bonds, tax arbitrage, home currency advantage, currency risk, inconvertibility, nontransferability, commodity money, credit, fiat money, special events risk, currency convertibility risk protection term sheet, pricing convertibility protection, cross-border issues





Chapter 6

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
6
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.50
 
Affiliate & Non-Member:            US$$7.00

Topics Covered:

Credit risk, credit-linked note (CLN), credit default-linked note, principal-protected note, boosted coupon note, reduced coupon note, CLN term sheet, credit-sensitive note, index-linked note





Chapter 7

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
7
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.50
 
Affiliate & Non-Member:            US$$7.00

Topics Covered:

Credit risk, market risk, securitization and basket credit derivatives, synthetic collateralized loan obligations (CLO), unwind triggers, dynamic triggers, static triggers, diversity score, rating criteria, black box structures, equity piece buyers, counterparty risk, Glacier Finance, Broad Index Secured Trust Offering (BISTRO), super senior tranche, credit arbitrage fund





Chapter 8

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
8
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.50
 
Affiliate & Non-Member:            US$$7.00

Topics Covered:

Credit risk, market risk, risk management, credit derivatives documentation, credit event definitions, bankruptcy, credit event upon merger, cross acceleration, cross default, currency convertibility, downgrade, failure to pay, governmental action, market disruption, repudiation, restructuring, relevant domestic currency, government entity, government obligation, reference entity, reference obligation, booking issues, regulatory capital, booking in nonbank entities, cross-border issues





Chapter 9

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
9
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.50
 
Affiliate & Non-Member:            US$$7.00

Topics Covered:

Credit risk, risk management, credit derivatives, basis risk, delivery, credit events, enterprise credit risk management, internet trading



  1  
 

 
   
GARP Digital Library