Credit Derivatives

Credit Derivatives

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Credit derivatives have become one of the fastest-growing areas of interest in global derivatives and risk management. In Credit Derivatives, Mark Anson skillfully examines this unique investment tool that is now being used to manage credit risk in banking and capital markets around the world. Credit Derivatives discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. This essential guidebook to credit derivatives covers key topics including, credit swaps, credit forwards, credit linked notes, and credit derivative pricing models. Anson also touches on other important credit derivative issues by discussing the implications of credit risk management as well as credit derivative regulation.Consider the commercial financing case of $100 million dollars over 5 years at a BB spread of 1.5% overLIBOR. ... yield curves for commercial loans and Treasury securities and subtracting these curves to obtain their difference, it is possibleanbsp;...

Title:Credit Derivatives
Author:Mark J. P. Anson
Publisher:John Wiley & Sons - 1999-09-15


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