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Tables of Contents for Credit Derivatives
Chapter/Section Title
Page #
Page Count
List of Contributors
i
6
About the Contributors
vii
Introduction
1
4
PART ONE -- PRODUCTS & STRUCTURES
5
118
1 Credit Derivatives -- Instruments
7
92
S. Das
2 Credit-Linked Structured Notes
99
24
S. Das
PART TWO -- APPLICATIONS
123
48
3 Credit Derivatives -- Applications
125
46
S. Das
PART THREE -- PRICING & VALUATION ISSUES
171
214
4 Valuation and Pricing of Credit Derivatives
173
60
S. Das
5 Using Default Rates to Model the Term Structures of Credit Risk
233
18
Jerome S. Fons
6 Analytics and Algorithms for Credit Derivatives
251
20
Haydn Stedman
7 CreditMetrics^TM: Assessing the Marginal Risk Contribution of Credit
271
28
Greg Gupton
8 Modeling Default Risk
299
18
Peter Crosbie
9 Historical Default Rates of Corporate Bond Issuers, 1920-1996
317
32
Lea V. Carty
Dana Lieberman
10 Moody's Rating Migration and Credit Quality Correlation, 1920-1996
349
36
Lea V. Carty
PART FOUR -- MARKETS
385
24
11 The Market for Credit Derivatives
387
22
Robert Reoch
PART FIVE -- RATING, DOCUMENTATION, ACCOUNTING & TAXATION ISSUES
409
112
12 Rating Implications of Credit Derivatives
411
10
Nels Anderson
13 Legal, Documentation and Regulatory Issues of Credit Derivatives
421
28
Claude Brown
14 Accounting and Taxation Implications of Credit Derivatives
449
72
Price Waterhouse
PART SIX -- CONCLUSIONS
521
2
15 Developments in the Market for Credit Derivatives
523
38
S. Das
Index
561