Credit derivatives : trading & management of credit & default risk

PRODUCTS AND STRUCTURES Credit Derivative - Instuments (S. Das) Credit-Linked Structured Notes (S. Das). APPLICATIONS Credit Derivatives Applications (S. Das) PRICING AND VALUATION ISSUES Valuation and Pricing of Credit Derivatives (S. Das) Using Default Rates to Model the Term Structures of Credit Risk (J. Fons) Analytics and Algorithms for Credit Derivatives (H. Stedman) CreditMetricsTM: Assessing the Marginal Risk Contribution of Credit (G. Gupton) Modeling Default Risk (P. Crosbie) Historical Default Rates of Corporate Bond Issuers 1920-1996 (L. Carty & D. Lieberman) Moody's Rating Migration and Credit Quality Correlation 1920-1996 (L. Carty) MARKETS The Market for Credit Derivatives (R. Reoch) RATING, DOCUMENTATION, ACCOUNTING AND TAXATION ISSUES Rating Implications of Credit Derivatives (N. Anderson) Legal, Documentation and Regulatory Issues of Credit Derivatives (C. Brown) Accounting and Taxation Implications of Credit Derivatives (P. Waterhouse) CONCLUSIONS Developments in the Market for Credit Derivatives (S. Das) Index.