Mastering Credit Derivatives: A step-by-step guide to credit derivatives and structured credit

This second edition of Mastering Credit Derivatives has been completely revised to include new movements in the world of finance. The first part of the book is set aside as a condensed, updated version of the previous edition whereas the next two thirds are dedicated to recent innovations such as Structured Credit Derivatives and Greeks and Tranche Sensitivity.   The book is written on a purely ‘need to know’ basis, avoiding the archaic, theoretical and excessively mathematical concepts.   Input from market practitioners offers valuable insight into where they believe the market is headed in the future. Derivatives is a huge area, thought to be worth trillions of pounds. With new products being constantly introduced, it is important to keep up-to-date with its rapid growth.  

Table of Contents:
Mastering Credit Derivatives, 2e Part 1:- Introduction to Credit Derivatives & Applications Chapter 1:- Introduction to Credit Derivatives Exhibit 1:-Credit Default Swaps Exhibit 2:-CLNs Exhibit 3-TROR Swaps Chapter 2 :-Credit Derivatives & Applications Exhibit 1:-Credit Default Swap Applications, Balance Sheet, Hedging, curve credit views Exhibit 2:-CLNs Applications Exhibit 3-TROR Swaps applications, Balance Sheet Chapter 3:-CDS Basis Chapter 4:-Pricing CDS Chapter 4:-ISDA Documentation &  Basel II Credit Derivatives Regulations Part 2 Structured Credit Derivatives Chapter 6:-Traunched Indices Credit Default Swap Indices Exhibit 1:-DJ CDX Investment Grade Index Important Characteristics of Benchmark Indices Determining the upfront payments Impact of Defaults on Index Cashflows Exhibit 2:-Impact on Default on Index Traunches of Standard Default Swap Indices Important characteristics of benchmark traunches Exhibit 3:-Traunched DJ CDX NA IG Exhibit 4:-Credit Index CPPI strategies Chapter 7:- What is Correlation? “One mans delta is another man’s correlation”                                                                                            -Chris Boas Introduction Exhibit 1:-Portfolio Volatility Affected by Correlation Correlation In Structured Credit Markets Observing Default Correlation The Hidden Meaning of Correlation in Credit Markets Exhibit 2:-Correlation Affects the Relationship Between Volatility and Portfolio size Exhibit 3:-Valuation in structured credit markets Exhibit 4:-Correlation Creates Portfolio loss Distribution with fatter tails Exhibit 5:-Implied Compound and Base Correlation Exhibit 6:-correlation Sensitivity varies with seniority Exhibit 7:-Traunche Equivalence – Long/short combinations Chapter 8:-First-to-Default Baskets Overview of Default Basket Primer Exhibit 1:-First to Default Swap Exhibit 2:-Basket Default Swap Premium Depends on Correlation First-to-default basket: Investor Motivation Exhibit 3 Investor Motivation for Basket Trading Mergers & FTD Baskets Exhibit 4:-Replacement language matters – Impact of a hypothetical merger between Credits 1 & 2. Exhibit 5:-What is the impact of a Merger Worth? Funded Baskets Example: Ex-HiVol First to Default Basket Ex HiVol Benchmark First to Default Basket   Chapter 9:-Cash CDO’s Introduction Exhibit 1:-Growth in CDO issuance Exhibit 2:-CDO’s in the context of overall ABS Market Exhibit:-A Comparison of collateral composition of CDO Issuance 1998 and 2004 What are Cash CDO’s? How do Cash CDO’s work? Exhibit 3:- How a typical Cash CDO works Cash CDOs: A taxonomy Understanding the basics of CDO equity returns Rating of CDOs Analytical Challenges in modelling cash CDOs Chapter 10:-Synthetic CDO’s Introduction Exhibit 1:-Global Total Synthetic CDO Issuance What are Synthetic CDO’s? Exhibit 2:-How a typical CDS works Exhibit 3:-How a typical Synthetic CDO works Attachm

About the Author :
Andrew Kasapis has sold credit derivatives products from the front office since 1998 (the very beginning of the inter bank market) and more recently has sold structured credit products for major institutional sales boutiques. He is a Market Risk Analyst for tier 1 banks through his consulting company Credit Hedge Ltd.