Books

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This book could be boiled down to an article.
Very Useful For Practitioners

The Credit Default Swap Basis
Moorad Choudhry
Manufacturer: Bloomberg Press
ProductGroup: Book
Binding: Hardcover

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Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments
Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (Wiley Finance)
Introduction to Structured Finance (Frank J. Fabozzi Series)
The Volatility Surface: A Practitioner's Guide (Wiley Finance)
Fixed Income Securities and Derivatives Handbook: Analysis and Valuation

ASIN: 1576602362

Book Description

The credit default swap basis (the basis) defines the relationship between the cash and synthetic credit markets. Finance professionals need to understand the drivers of the basis in order to better undertake investment and relative value analysis. In this book Moorad Choudhry, a market practioner who has published widely in the field of credit derivatives, explores the three most important aspects of the basis: why synthetic and cash prices differ, how to measure the basis, and how to trade the basis. This book offers invaluable market insight to all professionals seeking a deeper understanding of credit derivatives and fixed-income securities.

Customer Reviews:

This book could be boiled down to an article........2007-03-27

The book is 195 pages total. The first 60 pages explain what CDS, z-spread, and asset swap spread are. While this is useful information, chances are, if you are buying a book about CDS basis, you will already know this stuff. And if you dont, wikipedia or any other online source can concisely explain it.

The last 50 pages includes definitions and appendicies. In between, you get a lot of repetitive information. Every chapter starts out with a 2-3 page summary of what you just read.

Chapter 3 is really the only useful part of the book - it outlines the 10 or so factors that drive basis. I certainly learned a lot here but it was in the course of 10 pages or so.

The final chapter talks about "trading the basis." I was disappointed to read that they are simply telling you how to execute the trade...ie, buy $10MM notional, sell X, hedge with futures. It really doesnt help with idea generation which is what I was hoping to see.

Very Useful For Practitioners.......2007-01-27

Choudhry lays out the relationship between cash and synthetic fixed income instruments: 1) for cash bonds, the different ways to measure the cash flows, swapping fixed to floating, using ASW, I spread, Z spread, etc., and the pro's and con's of each measurement. 2) For CDS, there is a brief primer on the CDS product structure, and discussion of CDS pricing methodology (both mathematically and in layman's terms). He then lays out techniques for hedging and basis trading and presents examples. There is discussion of market supply/demand influences.

The emphasis is hands-on usability for the practitioner. He presents examples using the Bloomberg & some spreadsheets. Although several approaches to CDS pricing theory are presented (including some math that I'm not knowledgable enough to evaluate), CDS theory is not explored or debated in great detail. This level of theory is not the primary focus of the book. The book is NOT targeted to heavy duty quants or theoreticians.

There are a couple areas where I would have appreciated a bit more diligence. Choudhry himself points out one example where the values in the printed Bloomberg screen differ slightly from the book's text (couldn't they have updated one or the other before going to print?). In another case, I was unsure about the consistency of treatment in different parts of the book regarding one of the spread measurements. In this case I will probably buy one of his other books where the issue is examined in greater detail.

Overall, I found this book VERY useful and well worth reading.

Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)

Average customer rating:

Too many errors
Great Blend Between Practical and Academic Structured Credit
The Credit Derivs MARKET, not just the products
Comprehensive with a very practical approach!
managing member jaz capital

Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
Geoff Chaplin
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Credit Derivatives: CDOs and Structured Credit Products (Wiley Finance)
Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments
Credit Derivatives Pricing Models: Model, Pricing and Implementation
The Credit Default Swap Basis
Understanding Credit Derivatives and Related Instruments (Academic Press Advanced Finance Series)

ASIN: 047002416X

Book Description

A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring
Analysis of the industry standard ‘default and recovery’ and Copula models including many examples, and a description of the models’ shortcomings
Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management
A thorough analysis of counterparty risk
An intuitive understanding of credit correlation in reality and in the Copula model

The CD in the back of this book includes an Evaluation Version of Mathcad® 12 Single User Edition, which is reproduced by permission. This software is a fully-functional trial of Mathcad which will expire 30 days from installation. For technical support or more information see http://www.mathcad.com.

Download Description

The credit derivatives market has developed rapidly over the last ten years and is now well established in the banking community and is increasingly making its presence felt in all areas of finance. This book covers the subject from credit bonds, asset swaps and related real world issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. Credit Derivatives: Risk Management, Trading and Investing provides: A description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring Analysis of the industry standard default and recovery and Copula models including many examples, and a description of the models shortcomings Tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management A thorough analysis of counterparty risk An intuitive understanding of credit correlation in reality and in the Copula model

Customer Reviews:

Too many errors.......2007-02-16

This book provides a simple description of a long list of things. Good for a quick reading. But, there are too many errors and beginners should be cautioned.

Great Blend Between Practical and Academic Structured Credit.......2006-11-19

Outstanding reference for serious traders, analytsts, and desk quants. Valuable insight into market structure, data sources, and practical implementation of pricing models. Overall I think the text is much better than its peer group for single-name credit derivatives with good overviews for CDS-Bond basis trading, CDS forwards and curve trading, Digital recovery and recovery oriented trading strategies.

The material on correlation, baskets, and tranche trading is fine, but probably not that much better than many other texts, as the correlation space is already geared for a more quantitative crowd and there are many fine books that already cover that material.

That said, for a practical approach with quantitative depth for single name trading, it is by far the best text on the market.

The Credit Derivs MARKET, not just the products.......2006-01-11

I unexpectedly found myself working on a computer project for a credit derivatives desk. I bought several books (Bomfin, Tavakoli, Choudhry) about credit derivatives but found they limited their discussion to just the specific products (TRS, CDS, CDS Index, Baskets, Synthetics, etc.) and their pricing analytics. Chaplin's book is the only one I've read that provides a broader view of the credit derivatives market. For instance, when he discusses the vanilla CDS product he includes such detail as the ISDA based agreement that must be signed by both seller and purchaser, the history of how the terms of the agreement evolved, and how a 'credit event' defined in the agreement is actually settled.

Chaplin's book is the 'how things really work' book of the credit derivatives market. A great resource.

Comprehensive with a very practical approach!.......2005-12-07

This book gives a very good insight into the world of credit derivatives. The main products are decribed from a trading as well as from a pricing point of view. The software that comes with it, demonstrates various pricing methods as well as problems and deficits, these modells have.

A must read for everybody who wants to get an insight into the world of credit derivatives.

Well done!

managing member jaz capital.......2005-10-25

A well written and concise book. Geoff Chaplin has the ability to express complex concepts in a clear and lucid manner. One off the most problematic areas of credit is the area of correlation. Geoff does an excellent job of explaining the problems and developing solutions to include conventional solutions from the street.

It is very apparent that Geoff has the practitioner's background to go along with the academic experience.

An excellent teaching tool. Should be a part of anyone's book shelf involved in credit derivatives or with the aspirations of entering that field

QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET

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QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET
Yi Tang , and Bin Li
Manufacturer: World Scientific Publishing
ProductGroup: Book
Binding: Hardcover

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Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)
Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM (Wiley Finance)
Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)
The Volatility Surface: A Practitioner's Guide (Wiley Finance)
Structured Finance Modeling with Object-Oriented VBA (Wiley Finance)

ASIN: 9810240791

Product Description

This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors own research and practice.

Option Embedded Bonds: Price Analysis, Credit Risk, & Investment Strategies

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Option Embedded Bonds: Price Analysis, Credit Risk, & Investment Strategies

Manufacturer: Irwin Professional Publishing
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

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Options | Investing | Business & Investing | Subjects | Books
ASIN: 0786308184

Book Description

Interest rate volatility has spawned a huge increase in the issuances of option-embedded bonds. Comprising a variety of structures including: callable bonds, structured notes, and convertible securities, option-embedded bonds confer benefits to both borrowers and investors. For borrowers, these products usually provide protection against interest rate risk. For investors, they typically provide higher yields than conventional bonds are oftentimes difficult to value. Option Embedded Bonds describes how to analyze and value these important new instruments, as well as investment strategies to maximize returns. Specific topics include: The marketplace for option-embedded bonds; Callable bonds, putable bonds, structured notes, convertibles, caps, and floors; Decomposing complex bonds into their component parts. Modeling the performance of option-embedded bonds; Valuation approaches.

BANK OF AMERICA AUTOMATED EQUITY OPTIONS GAINING TRACTION.: An article from: Computer Workstations

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BANK OF AMERICA AUTOMATED EQUITY OPTIONS GAINING TRACTION.: An article from: Computer Workstations
Gale Reference Team
Manufacturer: Thomson Gale
ProductGroup: Book
Binding: Digital

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Book Description

This digital document is an article from Computer Workstations, published by Thomson Gale on February 1, 2007. The length of the article is 1215 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: BANK OF AMERICA AUTOMATED EQUITY OPTIONS GAINING TRACTION.
Author: Gale Reference Team
Publication: Computer Workstations (Newsletter)
Date: February 1, 2007
Publisher: Thomson Gale
Volume: 20 Issue: 2 Page: NA

Distributed by Thomson Gale

It's not all about derivatives: there's need for trade risk and credit management in electricity trading. (Utilities).: An article from: Energy

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It's not all about derivatives: there's need for trade risk and credit management in electricity trading. (Utilities).: An article from: Energy
Aiman El-Ramly
Manufacturer: Business Communications Company, Inc.
ProductGroup: Book
Binding: Digital

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Book Description

This digital document is an article from Energy, published by Business Communications Company, Inc. on March 22, 2002. The length of the article is 2329 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: It's not all about derivatives: there's need for trade risk and credit management in electricity trading. (Utilities).
Author: Aiman El-Ramly
Publication: Energy (Magazine/Journal)
Date: March 22, 2002
Publisher: Business Communications Company, Inc.
Volume: 27 Issue: 2 Page: 43(3)

Distributed by Thomson Gale

Insider trading in credit derivatives [An article from: Journal of Financial Economics

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Insider trading in credit derivatives [An article from: Journal of Financial Economics
V.V. Acharya , and T.C. Johnson
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

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ASIN: B000PDYUH6

Book Description

This digital document is a journal article from Journal of Financial Economics, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we find significant incremental information revelation in the credit default swap market under circumstances consistent with the use of non-public information by informed banks. The information revelation occurs only for negative credit news and for entities that subsequently experience adverse shocks, and increases with the number of a firm's relationship banks. We find no evidence, however, that the degree of asymmetric information adversely affects prices or liquidity in either the equity or credit markets.

Credit Derivatives: Trading & Management of Credit & Default Risk (Wiley Frontiers in Finance)

Average customer rating:

read this before going for it
Derivatives - best book in the market
A poor effort
A hodge-podge of chapters written mostly by accountan ts.
Very poor description and coverage of key issues.

Credit Derivatives: Trading & Management of Credit & Default Risk (Wiley Frontiers in Finance)

Manufacturer: John Wiley & Sons Ltd (Import)
ProductGroup: Book
Binding: Hardcover

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Credit Derivatives: CDOs and Structured Credit Products (Wiley Finance)

ASIN: 0471248568

Book Description

An updated and enhanced look at the management and trading of credit risk in terms of the markets, regulations, and nature of the product

Credit derivatives have emerged as a significant area in global derivatives and risk management practice. These instruments have begun to revolutionize the management of credit risk in banking and capital markets. This book clearly explains how to structure and apply these products to solve risk management problems as well as how to price and value these instruments. Readers will find the Second Edition completely up-to-date with the latest information in the field. New topics have been added, including credit-linked notes, pricing models, default statistics, credit portfolio management, regulatory framework for credit derivatives, and market developments and prospects. This edition reflects the rapid evolution in the market and new contributors provide additional insight that readers will find beneficial.

Satyajit Das (Singapore) is the author of several key financial books including Swap Financing; Swaps and Financial Derivatives: The Global Reference to Products, Pricing, Applications and Markets; and Exotic Options.

Customer Reviews:

read this before going for it.......2007-05-22

This book provides a very incomprehensive and inadequate exposition of many of the key issues. The first four chapters are the most poorly written with unexplained examples. The book, moreover, gives a very poor explanation of pricing techniques which should have formed the core of this text. ON the whole, i would not recommend it to anyone who wants to gain a good introduction to this topic at this price.

Derivatives - best book in the market.......2001-12-18

When it comes to Derivative products, pricing, valuation, the markets, and all the other issues, such as rating, documentation, accounting and taxation, you could not get a better mentor than Satyajit DAS, and this book is his best ever. It is a collection of topics and authors who are the leaders and the best in the field. THERE is simply NO other book that can be called a HANDBOOK on Derivatives, for everyone, students, financial professions, and professors, and for beginners, as well as advanced.

A poor effort.......2000-06-28

I dislike this book for a number of reasons. Firstly it is incomprehensible, especially the examples. Some of the concepts are also not well explained. Secondly, it is not user-friendly. The ideas demonstrated are not presented in a coherent manner. Lastly, being basically a compilation from different authors, the chapters are also not well connected to each other. Overall a very poor effort.

A hodge-podge of chapters written mostly by accountan ts........1999-08-06

About half the chapters are written by various accountants employed by Price Waterhouse. Only 2 out of about 20 chapter authors are recognizable names in the field.

Very poor description and coverage of key issues........1999-08-01

In my opinion, this book provides a very incomprehensive and inadequate exposition of many of the key issues. The first four chapters are the most poorly written with unexplained examples and difficult to follow diagrams. Some of the latter chapters are a bit better written. The book, moreover, gives a very poor explanation of pricing techniques which should have formed the core of this text. ON the whole, i would not recommend it to anyone who wants to gain a good introduction to this topic.

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