Implementing credit derivatives / Israel Izzy Nelken ; with a contribution by Claude Brown
Imprint
New York : McGraw-Hill, c1999
Descript
xviii, 315 p
CONTENT
Legal and regulatory aspects (by Claude Brown of Clifford Chance) -- Analysi of credit spreads -- Revenue-neutral diversification -- Examination of term sheets -- Credit derivatives and the repo markets -- Collateralized bond obligations -- Locating the CD function within a bank -- Credit risk management in Asia -- CreditMetrics -- CreditRisk+ -- Credit derivatives and bank loans -- Creation and analysis of structured credit derivatives -- The valuation of credit derivatives -- Analysis and pricing