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An Introduction to Credit Derivatives
 
 

An Introduction to Credit Derivatives, 2nd Edition

 
An Introduction to Credit Derivatives, 2nd Edition,Moorad Choudhry,ISBN9780080982953
 
 
 

  

Butterworth-Heinemann

9780080982953

9780080982984

158

229 X 152

Introduces the univariate products, the market environment, and the qualitative aspects of risks of credit derivatives

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Key Features

  • A post-crisis guide to a powerful bank risk management product, its history and its use
  • Liberal use of Bloomberg screens and new worked examples increase hands-on practicality
  • New online set of CDS pricing models and other worksheets multiply the book's uses

Description

The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision.

Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance.

Readership

Graduate-level finance students who seek an introduction to derivatives.  Typical courses include portfolio theory and financial engineering.  Professionals comprise a second audience.

Moorad Choudhry

Moorad Choudhry is Head of Business Treasury in Global Banking and Markets (GBM) Treasury at the Royal Bank of Scotland. He is thus responsible for providing RBS with the expertise and capabilities required to manage its balance sheet, funding, and liquidity. He is also Visiting Professor at the Department of Economics, London Metropolitan University, and a Senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.

Affiliations and Expertise

Head of Business Treasury in Global Banking and Markets (GBM), Royal Bank of Scotland; Visiting Professor, London Metropolitan University; Senior Fellow, Cass Business School

View additional works by Moorad Choudhry

An Introduction to Credit Derivatives, 2nd Edition

1. Credit Risk

2. Credit Derivative Instruments: Part I

3. Credit Derivative Instruments: Part II

4. Credit Derivative Instruments: Part III

5. Credit Derivatives Pricing and Valuation

6. Credit Default Swap Pricing

7. The Asset Swap-Credit Default Swap Basis

Quotes and reviews

"An excellent, high-quality account of one of the most important areas of the debt capital and corporate credit markets today."--Didier Joannas, SunGard, Hong Kong

"The rapid growth of the credit derivatives markets has been accompanied by similar output in the related literature. For clarity, accessibility, relevance and detail, this is easily the best addition to this literature."--Abukar Ali, Bloomberg L.P.

 
 
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