Structured credit products : credit derivatives and synthetic securitisation /
Choudhry, Moorad.
Hoboken, N.J. : Wiley,
2010.
Includes bibliographical references and index.
Credit risk -- Credit derivatives I: Unfunded instruments -- Credit derivatives II: Funded instruments -- Credit analysis and relative value measurement -- Credit derivatives III: Applications -- Credit derivatives pricing and valuation -- Credit default swap pricing -- The asset swap: credit default swap basis I: The asset swap pricing of credit default swaps -- The credit default swap basis II: Analysing the relationship between cash and synthetic markets -- Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades -- Syndicated loans, loan-only credit default swaps and CDS legal documentation -- An introduction to securitization -- Synthetic collateralised debt obligations -- CDO valuation and cash flow waterfall models -- Synthetic conduits and credit derivative funding structures -- Files on the accompanying CD-R.
Credit derivatives.