Credit Derivatives: The Definitive Guide

Abstract

Foreword: The Challenges of a Dynamic Marketplace Simon Greaves, Application Networks . Introduction: Jon Gregory. Section 1 The default swap market : 1. Credit derivatives: the past, the present and the future Robert Reoch 2. The determinant of credit spread returns Jouke Hottinga, Aegon and Machiel Zwanenburg, Robeco 3. What's driving the default swap basis? Viktor Hjort, Morgan Stanley 4. What is the value of modified restructuring? Alex Reyfman and Klaus Toft, Goldman Sachs 5. The debt and equity linkage and the valuation of credit derivatives Sean Keenan, Jorge Sobehart and Terry Benzschawel, CitiGroup. Section 2 Default correlation and credit portfolio risk: 6. Nth to default swaps and notes: all about default correlation Douglas Lucas and Alberto Thomas, UBS 7. Portfolio Credit Risk Models Greg Gupton, Moodys KMV 8. Credit Derivatives as an Efficient Way of Transitioning to Optimal Portfolios Alla Gil, Citigroup. Section 3. Structured credit derivatives and portfolio management : 9. Overview of the CDO market Eileen Murphy, Barclay's Capital 10. Synthetic securitisation and structured credit derivatives Paul Hawkins, Merrill Lynch 11. Structured credit and the collateralised synthetic obligation Moorad Choudhry, KBC Financial Products 12. Distinguishing a synthetic CDO from a cash CDO Alexander Batchvarov, Jenna Collins and William Davies, Merrill Lynch 13. CDOs of CDOs Darren Smith, Dresner Kleinwort Benson. Section 4. Models and valuation: 14. Valuation and risk analysis of synthetic CDOs: A copula function approach David X Li and Jure Skarabot, Citigroup 15. Extreme events and multi-name credit derivatives Roy Mashal, Marco Naldi and Assaf Zeevi, Lehman Brothers 16. Reduced-form models: curve construction and the pricing of credit swaps, options, and hybrids Leif Anderson, Bank of America 17. Dynamite dynamics Jesper Andreasen, Nordea Markets 18. Modelling and hedging of default risk Monique Jeanblanc and Marek Rutkowski, University d'Evry and Warsaw University of Technology. Section 5. Regulatory, documentation and legal aspects : 19. ISDA's role in the credit derivatives marketplace Louise Marshall, ISDA 20. Credit linked notes Rodanthy Tzani and Maria Leibholz, Moody's Investor Services 21. Using guarantees and credit derivatives to reduce credit risk capital requirements under the new Basel Capital Accord Erik Heitfield, Federal Reserve Board.

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