The Resource Applications of Credit Derivatives : Opportunities and Risks involved in Credit Derivatives

Applications of Credit Derivatives : Opportunities and Risks involved in Credit Derivatives

Label
Applications of Credit Derivatives : Opportunities and Risks involved in Credit Derivatives
Title
Applications of Credit Derivatives
Title remainder
Opportunities and Risks involved in Credit Derivatives
Creator
Contributor
Subject
Genre
Language
eng
Summary
  • This study begins with a general introduction to the credit derivatives market and gives arguments for the growth catalysts which have driven the development to the current state. The financial participants in this market are presented as well. A comparison between market risk and credit risk follows to show the clear transition that helped credit risk to become an asset class. After that, a link to the recent Basel II guidelines is established in order to show the policies that banks have to consider when trading with credit risk. Chapter 2 deals with the historical evolution of credit derivatives and classifies different structures. A presentation of the main types of credit derivatives and their contract elements follow; these are mainly credit default swaps (CDS) and collaterized debt obligations (CDO). Chapter 2 also deals with definitions of a credit event and the calculation of risk premiums. Forms of default payment illustrate the possible settlement of a credit derivative contract. Afterwards, an account of the International Swaps and Derivatives Association (ISDA) is presented. This association serves as a supplier of standardized documentation to all market participants and facilitates transactions. Chapter 3 is the key element of this thesis and shows the applications of credit derivatives: they serve as portfolio diversifiers for asset managers, hedging instruments for banks or corporations and offer arbitrage possibilities for hedge funds and other institutions that monitor mispricings in bond and credit markets. This part delivers essential information for the final evaluation of such instruments from a practical point of view in Chapter 5. In Chapter 4, the thesis covers the most important pricing tools for credit derivatives. Three generally accepted and widely used models are presented and evaluated concerning their suitability
  • for various parties. These models vary greatly. Recently, a German governmental organization has set a standard evaluation system in place; whereas multinational investment banks form their own capacities in house or through joint ventures. An efficient valuation system gives market participants a major competitive advantage because they can observe default probabilities on an ongoing basis under changing market conditions. Chapter 5 deals with an evaluation of credit derivatives from a practical point of view and discusses the opportunities and risks involved in credit derivatives. The author concludes with a critical evaluation about the role and responsibility of regulators in this market and a view on the current situation of the global credit markets. Biographische Informationen Harald Seemann, Diplom-Betriebswirt (FH), 2007 Graduate in European Business Studies at the University of Applied Sciences in Regensburg, Germany. Currently, Mr. Seemann lives in Toronto, Canada and works in the financial services industry
Member of
Cataloging source
MiAaPQ
http://library.link/vocab/creatorName
Seemann, Harald
LC call number
HG6024.A3 -- S44 2008eb
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
ProQuest (Firm)
Series statement
Diplomica
http://library.link/vocab/subjectName
Credit derivatives
Label
Applications of Credit Derivatives : Opportunities and Risks involved in Credit Derivatives
Link
http://ebookcentral.proquest.com/lib/multco/detail.action?docID=616688
Instantiates
Publication
Copyright
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Applications of Credit Derivatives -- Table of Contents -- Illustration Index -- Table Index -- Abbreviation Index -- 1. Current Issue -- 1.1. Purpose of the thesis -- 1.2. Structure of the thesis -- 2. Credit Risk Management - Foundations -- 2.1. Credit Risk versus Market Risk -- 2.2. Impacts of Basel II -- 2.3. Classification and Evolution of Credit Derivatives -- 2.4. Main Types of Credit Derivatives -- 2. 4.1. Total Return Swap -- 2.4.2. Credit Default Swap -- 2.4.3. Credit Linked Notes - Rationale -- 2.5. Contract Characteristics -- 2.5.1. Reference Asset -- 2.5.2. Risk Premium -- 2.5.3. Credit Event -- 2.5.4. Recovery Rate -- 2.5.5. Forms of Default Payment -- 2.6. Standardized Documentation -- 2.6.1. International Swaps and Derivatives Association -- 2.7. Succession of CDS Reference Entities -- 3. Applications of Credit Derivatives -- 3.1. Portfolio Diversification -- 3.2. Short Positioning -- 3.3. Concentration Risk -- 3.4. Hedging -- 3.4.1. Distressed Buyer -- 3.4.2. Vendor Financing -- 3.4.3. Leasing Exposure -- 3.4.4. Managing Funding Cost Risk -- 3.4.5. Synthetic Debt Repurchase -- 3.5. Basics of Target Profiles -- 3.5.1. Cash Bonds versus Synthetic Securitization -- 3.6. Regulatory Arbitrage -- 4. Pricing of Credit Derivatives -- 4.1. Firm Value Model -- 4.1.1. Valuation Approach -- 4.1.2. Advantages and Disadvantages of the Firm Value Model -- 4.1.3. Moody's KMV Risk Management Tools today -- 4.1.4. Equity Prices and Bankruptcy -- 4.2. Market Pricing Model for Credit Correlation Products -- 4.2.1. 100% Credit Default Correlation - Scenario 1 -- 4.2.2. -100% Credit Default Correlation - Scenario 2 -- 4.2.3. 0% Credit Default Correlation - Scenario 3 -- 4.2.4. Findings from Default Correlation Analysis -- 4.3. Credit Rating Transition Models -- 4.3.1. Valuation Approach -- 5. Evaluation of Credit Derivatives
  • 5.1. Opportunities and Risks involved in Credit Derivatives -- 5.2. Role and Responsibility of Regulators -- 5.3. Credit Derivatives in the Global Credit Markets -- Bibliography -- Appendices
Control code
EBC616688
Dimensions
unknown
Edition
1st ed.
Extent
1 online resource (98 pages)
Form of item
online
Isbn
9783836608428
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Sound
unknown sound
Specific material designation
remote
System control number
  • (MiAaPQ)EBC616688
  • (Au-PeEL)EBL616688
  • (CaPaEBR)ebr10482746
  • (OCoLC)700699869
Label
Applications of Credit Derivatives : Opportunities and Risks involved in Credit Derivatives
Link
http://ebookcentral.proquest.com/lib/multco/detail.action?docID=616688
Publication
Copyright
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Applications of Credit Derivatives -- Table of Contents -- Illustration Index -- Table Index -- Abbreviation Index -- 1. Current Issue -- 1.1. Purpose of the thesis -- 1.2. Structure of the thesis -- 2. Credit Risk Management - Foundations -- 2.1. Credit Risk versus Market Risk -- 2.2. Impacts of Basel II -- 2.3. Classification and Evolution of Credit Derivatives -- 2.4. Main Types of Credit Derivatives -- 2. 4.1. Total Return Swap -- 2.4.2. Credit Default Swap -- 2.4.3. Credit Linked Notes - Rationale -- 2.5. Contract Characteristics -- 2.5.1. Reference Asset -- 2.5.2. Risk Premium -- 2.5.3. Credit Event -- 2.5.4. Recovery Rate -- 2.5.5. Forms of Default Payment -- 2.6. Standardized Documentation -- 2.6.1. International Swaps and Derivatives Association -- 2.7. Succession of CDS Reference Entities -- 3. Applications of Credit Derivatives -- 3.1. Portfolio Diversification -- 3.2. Short Positioning -- 3.3. Concentration Risk -- 3.4. Hedging -- 3.4.1. Distressed Buyer -- 3.4.2. Vendor Financing -- 3.4.3. Leasing Exposure -- 3.4.4. Managing Funding Cost Risk -- 3.4.5. Synthetic Debt Repurchase -- 3.5. Basics of Target Profiles -- 3.5.1. Cash Bonds versus Synthetic Securitization -- 3.6. Regulatory Arbitrage -- 4. Pricing of Credit Derivatives -- 4.1. Firm Value Model -- 4.1.1. Valuation Approach -- 4.1.2. Advantages and Disadvantages of the Firm Value Model -- 4.1.3. Moody's KMV Risk Management Tools today -- 4.1.4. Equity Prices and Bankruptcy -- 4.2. Market Pricing Model for Credit Correlation Products -- 4.2.1. 100% Credit Default Correlation - Scenario 1 -- 4.2.2. -100% Credit Default Correlation - Scenario 2 -- 4.2.3. 0% Credit Default Correlation - Scenario 3 -- 4.2.4. Findings from Default Correlation Analysis -- 4.3. Credit Rating Transition Models -- 4.3.1. Valuation Approach -- 5. Evaluation of Credit Derivatives
  • 5.1. Opportunities and Risks involved in Credit Derivatives -- 5.2. Role and Responsibility of Regulators -- 5.3. Credit Derivatives in the Global Credit Markets -- Bibliography -- Appendices
Control code
EBC616688
Dimensions
unknown
Edition
1st ed.
Extent
1 online resource (98 pages)
Form of item
online
Isbn
9783836608428
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Sound
unknown sound
Specific material designation
remote
System control number
  • (MiAaPQ)EBC616688
  • (Au-PeEL)EBL616688
  • (CaPaEBR)ebr10482746
  • (OCoLC)700699869

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