credit derivatives and structu

ISBN-13: 9780470822920 / Angielski / Twarda / 2009 / 768 str.

Vinod Kothari

Opis

Credit derivatives as a financial tool has been growing exponentially from almost nothing more than seven years ago to approximately US$5 trillion deals completed by end of 2005. This indicates the growing importance of credit derivatives in the financial sector and how widely it is being used these days by banks globally. It is also being increasingly used as a device of synthetic securitisation. This significant market trend underscores the need for a book of such a nature.
Kothari, an undisputed expert in credit derivatives, explains the subject matter using easy-to-understand terms, presents it in a logical structure, demystifies the technical jargons and blends them into a cohesive whole.
This revised book will also include the following:
- New credit derivative definitions
- New features of the synthetic CDO market
- Case studies of leading transactions of synethetic securitisations
- Basle II rules - The Consultative Paper 3 has significantly revised the rules, particularly on synthetic CDOs
- Additional inputs on legal issues
- New clarifications on accounting for credit derivatives/credit linked notes

Spis treści

Foreword.

Preface.

PART 1 MARKET, INSTRUMENTS AND MOTIVATIONS.

Chapter 1: Credit derivatives: Structure, evolution, motivations, and economics.

Chapter 2: Credit derivatives: Market, evolution, and current status.

PART 2 SINGLE–NAME INSRTUMENTS.

Chapter 3: Credit default swaps.

Chapter 4: Total rate of return swaps.

Chapter 5: Credit–linked notes.

Chapter 6: Credit default swaps on asset–backed securities and derivatives exposures.

Chapter 7: Loan–only CDS.

Chapter 8: Credit derivatives options and volatility trades.

Chapter 9: Equity default swaps, recovery swaps and other exotic products.

PART 3 PORTFOLIO PRODUCTS.

Chapter 10: Portfolio credit derivatives and introduction to structured credit trading.

Chapter 11: Introduction to collateralized debt obligations.

Chapter 12: Index trades.

Chapter 13: Single–tranche synthetic CDOs, CPDOs, and other CDO innovations.

Chapter 14: CDO case studies.

Chapter 15: Credit derivative product companies.

PART 4 PRICING AND VALUATION OF CREDIT DERIVATIVES.

Chapter 16: Approaches to quantification of credit risk.

Chapter 17: Pricing of a single name credit derivative.

Chapter 18: Pricing of a portfolio credit default swap.

PART 5 LEGAL, REGULATIORY, OPERATIONAL, TAX AND ACCOUNTING ASPECTS.

Chapter 19: Legal aspects of credit derivatives.

Chapter 20: Documentation for credit derivatives.

Chapter 21: Taxation of credit derivatives.

Chapter 22: Accounting for credit derivatives.

Chapter 23: Regulatory capital and other regulations on credit derivatives.

Chapter 24: Operational issues.

Chapter 25: Credit derivatives terminology.

Index.

O autorze

Vinod Kothari is widely recognized as a specialist in structured finance and credit risk. Author, trainer and consultant, he has been dealing with credit derivatives for over the last seven years, and structured finance for over the last 12 years.

He has several books to his credit, including Securitization: The Financial Instrument of the Future; Securitization, Asset Reconstruction and Enforcement of Security Interests; Lease Financing and Hirepurchase; and Introduction to Securitization (jointly with Frank Fabozzi).

As a trainer, Kothari runs public and private training workshops in structured finance and credit risk areas all over the world, and trains nearly 1,000 executives at all levels. He has handled several consulting assignments for banks, companies and governments. These include complete handholding through a securitization of mortgage receivables, cashflow modeling, valuation, handling a project on financing for affordable housing for a government, and advising regulators on security interest and securitization laws, among others.

Kothari is a chartered accountant, and a company secretary. With a brilliant academic record, Vinod Kothari has been a rankholder at school, college, university and professional examinations.

He is based in Kolkata, India and may be contacted at vinod@vinodkothari.com

Blurb

Over the past few decades, I have watched with great interest the development of derivatives in general, and more recently credit derivatives. Instruments can be used, and misused. Derivatives may be used for hedging and trading in volatilities; at the same time, they may be used for excessive risk taking with inadequate capital. The 2008 global financial crisis resulted from control failures accompanied by traders making bets on a variety of risks based on models that had been validated only in good times. Stressful times act as the acid test for lots of instruments and assumptions, and I am sure credit derivatives will survive this test. Anyone concerned or interested in credit derivatives will find Vinod Kothari s book useful and comprehensive. Among other things, it also highlights the risks and mechanisms for reducing these using credit derivatives.

Frank J. Fabozzi
Professor in the Practice of Finance. Yale School of Management
Editor, Journal of Portfolio Management

Vinod Kothari s book provides the reader with a necessary macro and micro picture of the credit derivatives market. Without an appreciation for each piece of the jigsaw puzzle that is credit derivatives, it is impossible to have an understanding of the whole. This has never been truer than right now in the midst of the greatest financial turmoil in a century. Some blame credit derivatives for either causing or amplifying the crisis; others point out that one of the main tools for fixing the impotency of the banking sector is credit derivatives. To varying degrees, all are correct and therefore few can afford to be connected to the credit markets without a thorough understanding of credit derivatives. Vinod provides a comprehensive picture of the drivers behind the market supplemented by a detailed explanation of why institutions get involved. The extensive product details and the accompanying explanations of legal, regulatory, accounting and operational issues complete the picture and arm the reader well for a foray into this crucial sector of the credit markets.

Robert Reoch
Director, New College Capital Ltd.

Credit derivatives have been the most spectacular financial product of the past 15 years. From an obscure product, traded by professional in small amounts, they have transformed into a mammoth product with notional amounts estimated to be about US$60 trillion (up from US$50 billion in 1994). Vinod Kothari s new book explains the products in detail and explores the various trading strategies. It does so in an objective and scientific manner. I highly recommend the book to anyone interested in the topic.

Izzy Nelken
President, Super Computer Consulting, Inc.