Structured Credit Products: Credit Derivatives and Synthetic Securitisation, 2nd Edition

Preface.

Acknowledgements.

About the Author.

Prologue: The 2007–2008 credit and liquidity crunch: Impact on structured credit markets.

PART I: Credit risk and credit derivative instruments.

CHAPTER 1: Credit risk.

CHAPTER 2: Credit derivatives I: Unfunded instruments.

CHAPTER 3: Credit derivatives II: Funded instruments.

CHAPTER 4: Credit analysis and relative value measurement.

CHAPTER 5: Credit derivatives III: Applications.

CHAPTER 6: Credit derivatives pricing and valuation.

CHAPTER 7: Credit default swap pricing.

CHAPTER 8: The asset swap—credit default swap basis I: The asset swap pricing of credit default swaps.

CHAPTER 9: The credit default swap basis II: Analysing the relationship between cash and synthetic markets.

CHAPTER 10: Trading the credit default swap basis: Illustrating positive and negative basis arbitrage trades.

CHAPTER 11: Syndicated loans, loan-only credit default swaps and CDS legal documentation.

PART II: Structured credit products and synthetic securitisation.

CHAPTER 12: An introduction to securitisation.

CHAPTER 13: Synthetic collateralised debt obligations.

CHAPTER 14: CDO valuation and cash flow waterfall models.

CHAPTER 15: Synthetic conduits and credit derivative funding structures.

PART III: CD-R.

CHAPTER 16: Files on the accompanying CD-R.

Contributing authors.

Afterword: Econometrics, finance and football . . . .

Glossary.

Index.