Credit Derivatives and Structured Credit Trading, Revised Edition

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.