Richard Bruyere – Credit Derivates & Structured Credit

Foreword.

Introduction.

1 Credit The Emergence and Risk of Credit Derivatives.

1.1 Credit Risk.

1.1.1 Definition of Typology Credit Risk.

1.1.2 Characteristics Credit Risk.

1.1.3 The Importance and Value of Credit Capital Markets are subject to risk

1.2 Measurements and Assessment of Credit Risk.

1.2.1 Bank Capital Adequacy Standard (Basel I).

1.2.2 Credit Rating agencies analyze risk.

1.2.3 Credit Financial Markets Risk Assessment: Credit Spread.

1.3 Traditional Methods Credit The Emergence of Risk Management Credit Derivatives.

1.3.1 Traditional Methods of Managing Credit Risk (Issuer Risk).

1.3.2 Counterparty risk management in derivatives markets

1.3.3 Emergence of Advantages Credit Derivatives.

2 Typology of Credit These are the Main Applications of Derivatives.

2.1 Credit Swaps default

2.1.1 Description Credit Swaps default

Basis. 2.1.2 Comparison between the CDS Market & the Cash Market

2.1.3 Main Variations in CDSs

2.2 Other Credit Derivatives.

2.2.1 Credit Spread Derivatives.

2.2.2 Synthetic Replication Products

2.3 Main Applications of Credit Derivatives.

2.3.1 Applications for Institutional Investors or Other Capital Market Players

2.3.2 Credit Bank Management: Derivative Applications

2.3.3 Credit For corporates, derivative applications

3 Second-Generation Credit Derivatives.

3.1 Basket Credit Swaps default

3.1.1 The First-To-Default Credit Swaps.

3.1.2 Concrete Example.

3.1.3 Extension to the First-To-Default Principle: i To j-to-Default Products

3.2 Hybrid Products

3.2.1 Capital-Guaranteed/Protected Products.

3.2.2 Other Hybrid Products

3.2.3 A concrete example of a transaction

3.3 Credit Indices.

3.3.1 Introduction Credit Indices.

3.3.2 Credit Index Mechanism, Pricing, and Construction

3.3.3 iTraxx Indices – A True Innovation for Investors

4 Collateralized Debt Obligations

4.1 Cash-Flow CDOs (Arbitrage cBOs and CLOs)

4.1.1 Origin of Arbitrage CBOs/CLOs

4.1.2 Description for a CDO Structure

4.1.3 Overview of CBO/CLO Market, and Recent Developments

4.2 Balance sheet-Driven CDOs

4.2.1 Securitization Bank Loans

4.2.2 The Impact of Credit Derivatives: Synthetic CLOs.

4.2.3 Balance sheet-Driven CDOs or Regulatory Arbitrage

4.3 Arbitrage-Driven Synthetic CDOs

4.3.1 The First Arbitrage-Driven Synthetic CDOs

4.3.2 Actively Managed Arbitrage-Driven Synthetic CDOs

4.3.3-Demand CDOs (Correlation Product)

5 The Credit Derivatives Structured Credit Products Market.

5.1 Market Overview

5.1.1 Key Stages in the Development Credit Derivatives Market.

5.1.2 Structure, size, growth, and structure Credit Derivatives Market.

5.1.3 Size, Growth, Structure and Distribution of the CDO Market

5.2 Main players

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5.2.1 Banks.

5.2.2 Insurance, Reinsurance Companies & Financial Guarantors

5.2.3 Traditional Asset Management and Hedge Funds

5.2.4 Corporates.

5.3 The Investment Banks are at the Heart of the Market

5.3.1 The position of the Investment Banks Credit Derivatives Market.

5.3.2 The position of the Investment Banks on the CDO Market

5.3.3 Organization of Investment Banks

6 Pricing Models for Credit Derivatives.

6.1 Structural Models.

6.1.1 The Black–Scholes Option Pricing Model.

6.1.2 Merton’s Structural Model of Default Risk (1976).

6.1.3 Limitations & Extensions of The Merton Model (1976).

6.1.4 Pricing and Hedging Credit Derivatives in Structural Models.

6.2 Reduction-Form Models.

6.2.1 Hazard Rate Credit Spreads.

6.2.2 Pricing and Hedging Credit Derivatives in Reduced-Form Models.

6.2.3 Accounting For Volatility Credit Spreads.

6.2.4 Accounting for Interest rate Risk

Multi-Price Models: 6.3-Name Credit Derivatives.

6.3.1 Correlations and Dependence.

6.3.2 The Gaussian Copula Model

6.3.3 Multi-Asset Structural Models.

6.3.4 Reduced Dependent Defaults-Form Models.

6.4 Discussion.

6.4.1 Comparing Reduced and Structural-Methods for Form Modeling

6.4.2 Complex models, sparse data sets

6.4.3 Stand-alone Pricing Versus Marginal Pricing.

7 The Development’s Impact on Credit Derivatives.

7.1 The Effect of Growth Credit Derivatives for Banking Institutions

7.1.1 Far-Attaining Changes in Capital Markets

7.1.2 An Economic Approach Credit Risk Management.

7.1.3 Overview of the Banks of the Twenty-The First Century: The Impact of Credit Derivatives on Banks’ Strategy, Organization and Culture.

7.2 Credit Financial Regulations and derivatives

7.2.1 Credit The New Basel II Regulations and Derivatives

7.2.2 Credit Derivatives, and the Instability Financial System

7.2.3 A More Round Picture

7.3 Credit Derivatives: A Financial Revolution?

7.3.1 Introduction to Particle Finance Theory

7.3.2 Implications ‘Particle Finance Theory’ Capital Markets.

7.3.3 Innovations that are a beacon for others

Conclusion.

References.

More Reading.

Index.

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