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Mastering credit derivatives : a step-by-step guide to credit derivatives and structured credit

Author: Andrew Kasapis
Publisher: Harlow, England ; New York : Financial Times/Prentice Hall, 2008.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Database:WorldCat
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Andrew Kasapis
ISBN: 9780273714859 0273714856
OCLC Number: 256533905
Notes: Originally published in Great Britain in 1999.
Description: xiv, 277 pages : illustrations ; 24 cm
Contents: Introduction --
Credit derivative instruments and applications --
Pricing a CDS and the cash bond definition --
Credit derivative documentation and regulations --
Tranched indices --
What is correlation? --
First-to-default (FTD) baskets --
Cash CDOs --
Synthetic CDOs --
Understanding tranche sensitivity --
Innovation, the credit crisis and the future.
Responsibility: Andrew Kasapis.
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