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Tables of Contents for Credit Derivatives and Credit Linked Notes
Chapter/Section Title
Page #
Page Count
List of Contributors
xi
About the Contributors
xii
Introduction
xix
PART ONE - PRODUCTS & STRUCTURES
1
168
Credit Derivatives -- Products
3
66
S. Das
Credit Linked Notes -- Structured Notes
69
28
S. Das
Credit Linked Notes -- Repackaged Notes & Repackaging Vehicles
97
30
S. Das
Credit Linked Notes -- Credit Portfolio Securitization Structures
127
42
S. Das
PART TWO - APPLICATIONS
169
68
Credit Derivatives - Applications
171
66
S. Das
PART THREE - PRICING & VALUATION ISSUES
237
298
Modeling Credit Risk/Pricing Credit Derivative Instruments
239
92
S. Das
Using Default Rates to Model Term Structure of Credit Risk
331
18
Jerome S. Fons
Analytics and Algorithms for Credit Derivatives
349
20
Haydn Stedman
Modeling Default Risk
369
42
Peter Crosbie
Historical Defaults and Recoveries for Corporate Bonds
411
66
Sean C. Keenan
David T. Hamilton
Lea V. Carty
Credit Rating Dynamics: Moody's Watchlist, Rating Migration, and Credit Quality Correlation
477
58
Sean C. Keenan
Jerome S. Fons
Lea V. Carty
PART FOUR - CREDIT PORTFOLIO MANAGEMENT
535
94
Overview to Credit Risk Modeling
537
20
Andrew Hickman
CreditMetrics™: Assessing the Marginal Risk Contribution of Credit
557
32
Greg Gupton
Creditrisk+™
589
40
Tom Wilde
PART FIVE - MARKETS
629
26
The Market for Credit Derivatives
631
24
Robert Reoch
PART SIX - RATINGS, DOCUMENTATION ACCOUNTING, & TAXATION ISSUES
655
218
Rating Implications for Credit Derivatives
657
12
Nels Anderson
Documentation & Legal Issues
669
78
Christopher Whiteley
Accounting for Credit Derivatives, PricewaterhouseCoopers
747
70
Credit Derivatives and Credit Linked Notes - Regulatory Treatment
817
56
S. Das
PART SEVEN - CONCLUSIONS
873
57
Credit Derivatives and Credit Risk Management - Evolution and Prospects
875
55
S. Das
Index
930