Credit Derivatives and Structured Credit Trading, Revised Edition

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As probability distribution is impacted by external and internal correlation, structured credit also allows trading in correlation risk. From stand-alone single credits to bespoke portfolios to indices, credit derivatives have grown rapidly. Now a mainstream financial instrument, they have been hailed as both a savior and destroyer of financial markets. The book explains in minute details the intricacies of credit derivatives and structured credit trading.

It also: delves into the leverage that credit derivatives create as well as the risks and risk mitigants in its growth; explores all the relevant aspects of credit derivatives including legal, tax, accounting and regulatory issues; discusses the complicated issue of pricing and valuation of credit derivatives and collateralized debt obligations in a simple manner backed up with solved examples; and provides solved examples in Excel R worksheets in the accompanying CD.

Whether you are an investor, analyst, banker, dealer, lawyer, accountant or regulator, the present book will be of great value to you in understanding the complex world of credit derivatives and structured credit trading. Back cover copy Over the past few decades, I have watched with great interest the development of derivatives in general, and more recently credit derivatives. Instruments can be used, and misused. Derivatives may be used for hedging and trading in volatilities; at the same time, they may be used for excessive risk taking with inadequate capital.

The global financial crisis resulted from control failures accompanied by traders making bets on a variety of risks based on models that had been validated only in good times. Stressful times act as the acid test for lots of instruments and assumptions, and I am sure credit derivatives will survive this test. Anyone concerned or interested in credit derivatives will find Vinod Kothari's book useful and comprehensive.

Credit Derivatives and Structured Credit Trading / Edition 1

Among other things, it also highlights the risks and mechanisms for reducing these using credit derivatives. Frank J. Fabozzi Professor in the Practice of Finance. Yale School of Management Editor, Journal of Portfolio Management Vinod Kothari's book provides the reader with a necessary macro and micro picture of the credit derivatives market.

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Without an appreciation for each piece of the jigsaw puzzle that is credit derivatives, it is impossible to have an understanding of the whole. This has never been truer than right now in the midst of the greatest financial turmoil in a century. Some blame credit derivatives for either causing or amplifying the crisis; others point out that one of the main tools for fixing the impotency of the banking sector is credit derivatives. To varying degrees, all are correct and therefore few can afford to be connected to the credit markets without a thorough understanding of credit derivatives.

Credit Derivatives and Structured Credit Trading – Vinod Kothari Consultants

Vinod provides a comprehensive picture of the drivers behind the market supplemented by a detailed explanation of why institutions get involved. The extensive product details and the accompanying explanations of legal, regulatory, accounting and operational issues complete the picture and arm the reader well for a foray into this crucial sector of the credit markets.

Credit derivatives have been the most spectacular financial product of the past 15 years. Vinod Kothari's new book explains the products in detail and explores the various trading strategies. It does so in an objective and scientific manner. I highly recommend the book to anyone interested in the topic. Table of contents Foreword.

Credit Derivatives : Trading, Investing,and Risk Management

Chapter 1: Credit derivatives: Structure, evolution, motivations, and economics. Chapter 2: Credit derivatives: Market, evolution, and current status. Chapter 3: Credit default swaps. Chapter 4: Total rate of return swaps. Chapter 5: Credit-linked notes. Chapter 6: Credit default swaps on asset-backed securities and derivatives exposures. Chapter 7: Loan-only CDS. Chapter 8: Credit derivatives options and volatility trades. Chapter 9: Equity default swaps, recovery swaps and other exotic products. He has handled several consulting assignments for banks, companies and governments.

These include complete handholding through a securitization of mortgage receivables, cashflow modeling, valuation, handling a project on financing for affordable housing for a government, and advising regulators on security interest and securitization laws, among others.

Structured Finance, Lecture 2 - Credit Derivatives - Part 1

Kothari is a chartered accountant, and a company secretary. With a brilliant academic record, Vinod Kothari has been a rankholder at school, college, university and professional examinations.

Request permission to reuse content from this site. Undetected location. NO YES. Selected type: Hardcover. Added to Your Shopping Cart. View on Wiley Online Library. This is a dummy description. This indicates the growing importance of credit derivatives in the financial sector and how widely it is being used these days by banks globally.

It is also being increasingly used as a device of synthetic securitisation. This significant market trend underscores the need for a book of such a nature. Kothari, an undisputed expert in credit derivatives, explains the subject matter using easy-to-understand terms, presents it in a logical structure, demystifies the technical jargons and blends them into a cohesive whole. About the Author Vinod Kothari is widely recognized as a specialist in structured finance and credit risk.

Key areas of new and enhanced coverage include: Inclusion of latest developments in documentation the Credit Derivative Definitions and market developments such as Master Confirmations. Increased coverage of credit linked notes including repackaging structures. Detailed discussion of the collateralized debt obligations? Increased coverage of pricing of credit default swaps including models and valuation approaches and discussion of cash-synthetic basis and its causes and behavior.

Coverage of E2C equity to credit hedging. Detailed examples of applications of credit derivatives by different market participants.


Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades. Updated coverage of regulatory framework for credit derivatives. Updated discussion of market structures, developments and prospects. About the Author : Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Buy New Learn more about this copy. Customers who bought this item also bought. Stock Image.

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Published by Wiley. New Hardcover Quantity Available: 1. Seller Rating:. Published by Wiley Credit Derivatives Satyajit Das. Published by John Wiley and 38; Sons