2000•Unpublished venueRequires access
Credit Derivatives and Credit Linked Notes
Satyajit Das
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Abstract
List of Contributors About the Contributors Introduction PRODUCTS AND STRUCTURES Credit Derivative - Products (S. Das) Credit Linked Notes - Structured Notes (S. Das) Credit Linked Notes - Repackaged Notes and Repackaging Vehicles (S. Das) Credits Linked Notes - Credit Portfolio Securitization Structures (S. Das) APPLICATIONS Credit Derivatives - Applications (S. Das) PRICING AND VALUATION ISSUES Modeling Credit Risk / Pricing Credit Derivative Instruments (S. Das) Using Default Rates to Model Term Structure of Credit Risk (J. Fons) Analytics and Algorithms for Credit Derivatives (H. Stedman) Modeling Default Risk (P. Crosbie) Historical Defaults and Recoveries for Corporate Bonds (S. Keenan, et al.) Credit Rating Dynamics: Moody's Watchlist, Rating Migration, and Credit Quality Correlation (S. Keenan, et al.) CREDIT PORTFOLIO MANAGEMENT Overview to Credit Risk Modeling (A. Hickman) CreditMetrics TM : Assessing the Marginal Risk Contribution of Credit (G. Gupton) CREDITRISK +TM (T. Wilde) MARKETS The Market for Credits Derivatives (R. Reoch) RATINGS, DOCUMENTATION ACCOUNTING, AND TAXATION ISSUES Ratings Implications for Credits Derivatives (N. Anderson) Documentation and Legal Issues (C. Whiteley) Accounting for Credit Derivatives (PricewaterhouseCoopers) Credit Derivatives and Credit Linked Notes - Regulatory Treatment (S. Das) CONCLUSIONS Credit Derivatives and Credit Risk Management - Evolution and Prospects (S. Das) Index